Performance

RBA-15.45%XLI+9.28%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
RBA	-3.25%	-18.39%	-15.45%	+4.31%	-32.52%	-0.49
XLI	-0.08%	+6.19%	+9.28%	+10.00%	-12.46%	0.35

Summary

RBA vs XLI

Over the past year, XLI returned +9.28% against -15.45% for RBA. Over five years, XLI averaged +10.00% a year, compared with +4.31% for RBA. XLI had the higher Sharpe ratio over the past year (0.35 vs -0.49), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.46% for XLI and -32.52% for RBA.

Current Drawdown

RBA-29.24%XLI-10.05%

Rolling Volatility

RBA+1.58%XLI+0.79%

METRICS

Correlation Matrix

	RBA	XLI
RBA	1.00	0.28
XLI	0.28	1.00

Metrics

Risk Indicators

RBAXLI

Alpha

-23.30%

-2.77%

Beta

0.78x

0.94x

Sharpe

-0.49

0.35

Sortino

-0.61

0.50

Omega

0.91

1.06

Calmar

-0.48

0.74

Martin

-1.01

1.30

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RBA vs XLI: returns, Sharpe ratio and drawdown

RBA vs XLI

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