Performance

RCL-8.33%XLY-5.02%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
RCL	-0.32%	-0.65%	-8.33%	+26.74%	-33.83%	-0.04
XLY	+0.31%	-5.61%	-5.02%	+3.41%	-15.15%	-0.40

Summary

RCL vs XLY

Over the past year, XLY returned -5.02% against -8.33% for RCL. Over five years, RCL averaged +26.74% a year, compared with +3.41% for XLY. RCL had the higher Sharpe ratio over the past year (-0.04 vs -0.40), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.15% for XLY and -33.83% for RCL.

Current Drawdown

RCL-19.14%XLY-10.29%

Rolling Volatility

RCL+2.90%XLY+0.83%

METRICS

Correlation Matrix

	RCL	XLY
RCL	1.00	0.45
XLY	0.45	1.00

Metrics

Risk Indicators

RCLXLY

Alpha

-18.98%

-20.36%

Beta

1.60x

1.16x

Sharpe

-0.04

-0.40

Sortino

-0.06

-0.55

Omega

0.99

0.94

Calmar

-0.25

-0.33

Martin

-0.10

-1.16

Comparisons

More RCL comparisons

RCL vs CCL
RCL vs SPY
RCL vs NCLH
RCL vs HLT
RCL vs MAR

More XLY comparisons

XLY vs XLP
XLY vs SPY
XLY vs XLK
XLY vs VOO

RCL vs XLY: returns, Sharpe ratio and drawdown

RCL vs XLY

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