Performance

SONY-14.77%XLY-4.81%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
SONY	+0.77%	-3.86%	-14.77%	+1.45%	-36.15%	-0.57
XLY	-0.84%	-4.98%	-4.81%	+2.27%	-15.15%	-0.40

Summary

SONY vs XLY

Over the past year, XLY returned -4.81% against -14.77% for SONY. Over five years, XLY averaged +2.27% a year, compared with +1.45% for SONY. XLY had the higher Sharpe ratio over the past year (-0.40 vs -0.57), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.15% for XLY and -36.15% for SONY.

Current Drawdown

SONY-17.78%XLY-9.69%

Rolling Volatility

SONY+1.09%XLY+0.82%

METRICS

Correlation Matrix

	SONY	XLY
SONY	1.00	0.32
XLY	0.32	1.00

Metrics

Risk Indicators

SONYXLY

Alpha

-22.64%

-18.43%

Beta

0.66x

1.16x

Sharpe

-0.57

-0.40

Sortino

-0.83

-0.55

Omega

0.91

0.94

Calmar

-0.41

-0.32

Martin

-0.68

-1.10

Comparisons

More SONY comparisons

SONY vs MSFT
SONY vs SPY
SONY vs TM
SONY vs RACE
SONY vs XPEV

More XLY comparisons

XLY vs XLP
XLY vs SPY
XLY vs XLK
XLY vs VOO
XLY vs XRT
XLY vs XHB

SONY vs XLY: returns, Sharpe ratio and drawdown

SONY vs XLY

More SONY comparisons

More XLY comparisons