SJM vs XLP: returns, Sharpe ratio and drawdown
Performance
SJM+13.59%XLP+6.89%
Summary
SJM vs XLP
Over the past year, SJM returned +13.59% against +6.89% for XLP. Over five years, XLP averaged +3.34% a year, compared with -0.44% for SJM. SJM had the higher Sharpe ratio over the past year (0.44 vs 0.23), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -10.75% for XLP and -22.82% for SJM.
Current Drawdown
SJM-9.77%XLP-7.32%
Rolling Volatility
SJM+1.29%XLP+0.85%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SJMXLP
Alpha
SJM
15.14%
XLP
3.94%
Beta
SJM
-0.26x
XLP
-0.06x
Sharpe
SJM
0.44
XLP
0.23
Sortino
SJM
0.70
XLP
0.33
Omega
SJM
1.08
XLP
1.04
Calmar
SJM
0.60
XLP
0.64
Martin
SJM
1.32
XLP
0.59
Comparisons