VFC vs XLY: returns, Sharpe ratio and drawdown
Performance
VFC+16.77%XLY-4.81%
Summary
VFC vs XLY
Over the past year, VFC returned +16.77% against -4.81% for XLY. Over five years, XLY averaged +2.27% a year, compared with -25.53% for VFC. VFC had the higher Sharpe ratio over the past year (0.48 vs -0.40), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.15% for XLY and -41.44% for VFC.
Current Drawdown
VFC-21.81%XLY-9.69%
Rolling Volatility
VFC+1.94%XLY+0.82%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VFCXLY
Alpha
VFC
7.15%
XLY
-18.43%
Beta
VFC
1.72x
XLY
1.16x
Sharpe
VFC
0.48
XLY
-0.40
Sortino
VFC
0.66
XLY
-0.55
Omega
VFC
1.09
XLY
0.94
Calmar
VFC
0.40
XLY
-0.32
Martin
VFC
1.11
XLY
-1.10
Comparisons