USB vs XLF: returns, Sharpe ratio and drawdown
Performance
USB+21.08%XLF+1.71%
Summary
USB vs XLF
Over the past year, USB returned +21.08% against +1.71% for XLF. Over five years, XLF averaged +6.56% a year, compared with -1.09% for USB. USB had the higher Sharpe ratio over the past year (0.78 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 -16.21% for USB.
Current Drawdown
USB-12.82%XLF-7.39%
Rolling Volatility
USB+1.24%XLF+0.73%
METRICS
Correlation Matrix
Metrics
Risk Indicators
USBXLF
Alpha
USB
9.51%
XLF
-8.39%
Beta
USB
0.73x
XLF
0.62x
Sharpe
USB
0.78
XLF
-0.12
Sortino
USB
1.09
XLF
-0.16
Omega
USB
1.14
XLF
0.98
Calmar
USB
1.30
XLF
0.11
Martin
USB
2.49
XLF
-0.27
Comparisons