TXN vs XLK: returns, Sharpe ratio and drawdown
Performance
TXN+61.04%XLK+36.31%
Summary
TXN vs XLK
Over the past year, TXN returned +61.04% against +36.31% for XLK. Over five years, XLK averaged +20.53% a year, compared with +8.21% for TXN. TXN had the higher Sharpe ratio over the past year (1.23 vs 1.15), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.15% for XLK and -23.76% for TXN.
Current Drawdown
TXN-13.27%XLK-2.09%
Rolling Volatility
TXN+1.81%XLK+1.15%
METRICS
Correlation Matrix
Metrics
Risk Indicators
TXNXLK
Alpha
TXN
37.09%
XLK
11.83%
Beta
TXN
1.45x
XLK
1.72x
Sharpe
TXN
1.23
XLK
1.15
Sortino
TXN
2.12
XLK
1.68
Omega
TXN
1.26
XLK
1.21
Calmar
TXN
2.57
XLK
2.25
Martin
TXN
4.74
XLK
4.75
Comparisons