Performance

VLTO-6.21%XLI+9.86%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
VLTO	+0.78%	-2.05%	-6.21%	+7.33%	-21.59%	-0.36
XLI	+0.33%	+6.60%	+9.86%	+10.39%	-12.46%	0.38

Summary

VLTO vs XLI

Over the past year, XLI returned +9.86% against -6.21% for VLTO. Over five years, XLI averaged +10.39% a year, compared with +7.33% for VLTO. XLI had the higher Sharpe ratio over the past year (0.38 vs -0.36), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.46% for XLI and -21.59% for VLTO.

Current Drawdown

VLTO-8.00%XLI-9.71%

Rolling Volatility

VLTO+1.06%XLI+0.86%

METRICS

Correlation Matrix

	VLTO	XLI
VLTO	1.00	0.18
XLI	0.18	1.00

Metrics

Risk Indicators

VLTOXLI

Alpha

-11.30%

-3.48%

Beta

0.28x

0.93x

Sharpe

-0.36

0.38

Sortino

-0.52

0.54

Omega

0.94

1.06

Calmar

-0.29

0.79

Martin

-0.73

1.51

Comparisons

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XLI vs XLU

VLTO vs XLI: returns, Sharpe ratio and drawdown

VLTO vs XLI

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