RKT vs XLF: returns, Sharpe ratio and drawdown
Performance
RKT-37.07%XLF+5.17%
Summary
RKT vs XLF
Over the past year, XLF returned +5.17% against -37.07% for RKT. Over five years, XLF averaged +6.68% a year, compared with -8.19% for RKT. XLF had the higher Sharpe ratio over the past year (0.11 vs -0.60), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.23% for XLF and -55.08% for RKT.
Current Drawdown
RKT-54.01%XLF-5.19%
Rolling Volatility
RKT+2.77%XLF+0.77%
METRICS
Correlation Matrix
Metrics
Risk Indicators
RKTXLF
Alpha
RKT
-55.87%
XLF
-3.77%
Beta
RKT
2.29x
XLF
0.58x
Sharpe
RKT
-0.60
XLF
0.11
Sortino
RKT
-0.84
XLF
0.16
Omega
RKT
0.91
XLF
1.02
Calmar
RKT
-0.67
XLF
0.34
Martin
RKT
-1.03
XLF
0.26
Comparisons