SFD vs XLP: returns, Sharpe ratio and drawdown
Performance
SFD-15.66%XLP+9.99%
Summary
SFD vs XLP
Over the past year, XLP returned +9.99% against -15.66% for SFD. XLP had the higher Sharpe ratio over the past year (0.42 vs -0.73), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -10.75% for XLP and -38.43% for SFD.
Current Drawdown
SFD-37.01%XLP-2.66%
Rolling Volatility
SFD+1.21%XLP+0.96%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SFDXLP
Alpha
SFD
-17.28%
XLP
7.00%
Beta
SFD
-0.13x
XLP
-0.08x
Sharpe
SFD
-0.73
XLP
0.42
Sortino
SFD
-0.97
XLP
0.62
Omega
SFD
0.88
XLP
1.07
Calmar
SFD
-0.41
XLP
0.93
Martin
SFD
-1.19
XLP
1.09
Comparisons