PEP vs XLP: returns, Sharpe ratio and drawdown
Performance
PEP-11.31%XLP+6.89%
Summary
PEP vs XLP
Over the past year, XLP returned +6.89% against -11.31% for PEP. Over five years, XLP averaged +3.34% a year, compared with -4.18% for PEP. XLP had the higher Sharpe ratio over the past year (0.23 vs -0.71), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -10.75% for XLP and -27.43% for PEP.
Current Drawdown
PEP-24.72%XLP-7.32%
Rolling Volatility
PEP+1.24%XLP+0.85%
METRICS
Correlation Matrix
Metrics
Risk Indicators
PEPXLP
Alpha
PEP
-12.57%
XLP
3.94%
Beta
PEP
-0.18x
XLP
-0.06x
Sharpe
PEP
-0.71
XLP
0.23
Sortino
PEP
-1.00
XLP
0.33
Omega
PEP
0.89
XLP
1.04
Calmar
PEP
-0.41
XLP
0.64
Martin
PEP
-1.13
XLP
0.59
Comparisons