SITM vs XLK: returns, Sharpe ratio and drawdown
Performance
SITM+62.01%XLK+27.33%
Summary
SITM vs XLK
Over the past year, SITM returned +62.01% against +27.33% for XLK. Over five years, XLK averaged +17.96% a year, compared with +12.34% for SITM. SITM had the higher Sharpe ratio over the past year (0.93 vs 0.89), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.15% for XLK and -48.73% for SITM.
Current Drawdown
SITM-47.63%XLK-9.17%
Rolling Volatility
SITM+4.17%XLK+1.33%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SITMXLK
Alpha
SITM
53.71%
XLK
7.04%
Beta
SITM
2.89x
XLK
1.77x
Sharpe
SITM
0.93
XLK
0.89
Sortino
SITM
1.53
XLK
1.29
Omega
SITM
1.18
XLK
1.16
Calmar
SITM
1.27
XLK
1.69
Martin
SITM
3.70
XLK
3.65
Comparisons