PSI vs SOXX: returns, Sharpe ratio and drawdown
Performance
PSI+65.85%SOXX+68.41%
Summary
PSI vs SOXX
Over the past year, SOXX returned +68.41% against +65.85% for PSI. Over five years, SOXX averaged +25.73% a year, compared with +22.58% for PSI. SOXX had the higher Sharpe ratio over the past year (1.28 vs 1.15), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -29.01% for SOXX and -35.74% for PSI.
Current Drawdown
PSI-33.71%SOXX-24.67%
Rolling Volatility
PSI+2.72%SOXX+2.28%
METRICS
Correlation Matrix
Metrics
Risk Indicators
PSISOXX
Alpha
PSI
34.74%
SOXX
34.51%
Beta
PSI
2.80x
SOXX
2.63x
Sharpe
PSI
1.15
SOXX
1.28
Sortino
PSI
1.64
SOXX
1.85
Omega
PSI
1.21
SOXX
1.23
Calmar
PSI
1.84
SOXX
2.36
Martin
PSI
4.39
SOXX
5.36
Comparisons