R vs XLI: returns, Sharpe ratio and drawdown
Performance
R+29.87%XLI+9.28%
Summary
R vs XLI
Over the past year, R returned +29.87% against +9.28% for XLI. Over five years, R averaged +23.09% a year, compared with +10.00% for XLI. R had the higher Sharpe ratio over the past year (0.83 vs 0.35), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.46% for XLI and -18.72% for R.
Current Drawdown
R-14.96%XLI-10.05%
Rolling Volatility
R+1.07%XLI+0.79%
METRICS
Correlation Matrix
Metrics
Risk Indicators
RXLI
Alpha
R
17.40%
XLI
-2.77%
Beta
R
1.08x
XLI
0.94x
Sharpe
R
0.83
XLI
0.35
Sortino
R
1.18
XLI
0.50
Omega
R
1.16
XLI
1.06
Calmar
R
1.60
XLI
0.74
Martin
R
3.33
XLI
1.30