RING vs XME: returns, Sharpe ratio and drawdown
Performance
RING+11.66%XME-5.95%
Summary
RING vs XME
Over the past year, RING returned +11.66% against -5.95% for XME. Over five years, RING averaged +24.30% a year, compared with +18.40% for XME. RING had the higher Sharpe ratio over the past year (0.39 vs -0.10), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -26.54% for XME and -39.08% for RING.
Current Drawdown
RING-22.77%XME-24.02%
Rolling Volatility
RING+2.59%XME+1.74%
METRICS
Correlation Matrix
Metrics
Risk Indicators
RINGXME
Alpha
RING
2.01%
XME
-20.34%
Beta
RING
1.92x
XME
1.80x
Sharpe
RING
0.39
XME
-0.10
Sortino
RING
0.53
XME
-0.13
Omega
RING
1.07
XME
0.98
Calmar
RING
0.30
XME
-0.22
Martin
RING
1.01
XME
-0.26
Comparisons