UHAL vs XLI: returns, Sharpe ratio and drawdown
Performance
UHAL+2.46%XLI+9.28%
Summary
UHAL vs XLI
Over the past year, XLI returned +9.28% against +2.46% for UHAL. Over five years, XLI averaged +10.00% a year, compared with -5.03% for UHAL. XLI had the higher Sharpe ratio over the past year (0.35 vs 0.11), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.46% for XLI and -28.54% for UHAL.
Current Drawdown
UHAL-24.25%XLI-10.05%
Rolling Volatility
UHAL+1.29%XLI+0.79%
METRICS
Correlation Matrix
Metrics
Risk Indicators
UHALXLI
Alpha
UHAL
-4.09%
XLI
-2.77%
Beta
UHAL
0.84x
XLI
0.94x
Sharpe
UHAL
0.11
XLI
0.35
Sortino
UHAL
0.16
XLI
0.50
Omega
UHAL
1.02
XLI
1.06
Calmar
UHAL
0.09
XLI
0.74
Martin
UHAL
0.31
XLI
1.30
Comparisons