RSPT vs XLK: returns, Sharpe ratio and drawdown
Performance
RSPT+32.10%XLK+19.21%
Summary
RSPT vs XLK
Over the past year, RSPT returned +32.10% against +19.21% for XLK. RSPT had the higher Sharpe ratio over the past year (1.02 vs 0.63), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.74% for RSPT and -19.61% for XLK. Dividends over the past year came to 0.49% of XLK's price, against 0.26% for RSPT. Their daily returns had a correlation of 0.94 over the past year, which is very high.
Ranking
How RSPT and XLK rank
RSPTXLK
Current Drawdown
RSPT-13.88%XLK-15.41%
Rolling Volatility
RSPT38.25%XLK42.15%
METRICS
Correlation Matrix
Fees and dividends
What RSPT and XLK cost and pay
RSPTXLKExpense ratio0.40%0.08%Yield0.26%0.49%Paid, past year$0.15$0.83PaysQuarterlyQuarterlyGrowth a year-1.7%+6.7%Return with dividends+32.10%1Y+16.20%Return, price only+31.72%1Y+15.34%
RSPT charges 0.40% a year and XLK 0.08%.
Metrics
Risk Indicators
RSPTXLK
Alpha
RSPT
11.50%
XLK
0.46%
Beta
RSPT
1.68x
XLK
1.78x
Sharpe
RSPT
1.02
XLK
0.63
Sortino
RSPT
1.44
XLK
0.87
Omega
RSPT
1.18
XLK
1.11
Calmar
RSPT
1.81
XLK
0.98
Martin
RSPT
5.14
XLK
2.88
Comparisons