Performance

TFC+9.15%XLF+3.97%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
TFC	+1.32%	-7.16%	+4.36%	-5.53%	-21.47%	0.11
XLF	+0.89%	-1.27%	+1.71%	+6.56%	-15.23%	-0.12

Summary

TFC vs XLF

Over the past year, TFC returned +4.36% against +1.71% for XLF. Over five years, XLF averaged +6.56% a year, compared with -5.53% for TFC. TFC had the higher Sharpe ratio over the past year (0.11 vs -0.12), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.23% for XLF and -21.47% for TFC.

Current Drawdown

TFC-17.25%XLF-7.39%

Rolling Volatility

TFC+1.24%XLF+0.73%

METRICS

Correlation Matrix

	TFC	XLF
TFC	1.00	0.71
XLF	0.71	1.00

Metrics

Risk Indicators

TFCXLF

Alpha

-5.06%

-8.39%

Beta

0.73x

0.62x

Sharpe

0.11

-0.12

Sortino

0.15

-0.16

Omega

1.02

0.98

Calmar

0.20

0.11

Martin

0.28

-0.27

Comparisons

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TFC vs SPY
TFC vs RF
TFC vs USB
TFC vs FITB
TFC vs MTB

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XLF vs VOO
XLF vs SPY
XLF vs QQQ

TFC vs XLF: returns, Sharpe ratio and drawdown

TFC vs XLF

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