USRT vs XLRE: returns, Sharpe ratio and drawdown
Performance
USRT+5.01%XLRE-0.75%
Summary
USRT vs XLRE
Over the past year, USRT returned +5.01% against -0.75% for XLRE. Over five years, USRT averaged -0.27% a year, compared with -2.50% for XLRE. USRT had the higher Sharpe ratio over the past year (0.10 vs -0.30), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -11.82% for XLRE and -13.03% for USRT.
Current Drawdown
USRT-10.86%XLRE-8.37%
Rolling Volatility
USRT+0.74%XLRE+0.84%
METRICS
Correlation Matrix
Metrics
Risk Indicators
USRTXLRE
Alpha
USRT
-0.99%
XLRE
-6.79%
Beta
USRT
0.26x
XLRE
0.27x
Sharpe
USRT
0.10
XLRE
-0.30
Sortino
USRT
0.14
XLRE
-0.41
Omega
USRT
1.02
XLRE
0.95
Calmar
USRT
0.38
XLRE
-0.06
Martin
USRT
0.30
XLRE
-0.97
Comparisons