Performance

SOFI-45.13%XLF+1.71%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
SOFI	-0.32%	-43.15%	-45.13%	-4.25%	-52.96%	-0.87
XLF	+0.89%	-1.27%	+1.71%	+6.56%	-15.23%	-0.12

Summary

SOFI vs XLF

Over the past year, XLF returned +1.71% against -45.13% for SOFI. Over five years, XLF averaged +6.56% a year, compared with -4.25% for SOFI. XLF had the higher Sharpe ratio over the past year (-0.12 vs -0.87), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.23% for XLF and -52.96% for SOFI.

Current Drawdown

SOFI-51.54%XLF-7.39%

Rolling Volatility

SOFI+1.58%XLF+0.73%

METRICS

Correlation Matrix

	SOFI	XLF
SOFI	1.00	0.43
XLF	0.43	1.00

Metrics

Risk Indicators

SOFIXLF

Alpha

-78.35%

-8.39%

Beta

2.71x

0.62x

Sharpe

-0.87

-0.12

Sortino

-1.15

-0.16

Omega

0.87

0.98

Calmar

-0.85

0.11

Martin

-1.27

-0.27

Comparisons

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SOFI vs XLF: returns, Sharpe ratio and drawdown

SOFI vs XLF

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