VRSN vs XLK: returns, Sharpe ratio and drawdown
Performance
VRSN+13.68%XLK+36.31%
Summary
VRSN vs XLK
Over the past year, XLK returned +36.31% against +13.68% for VRSN. Over five years, XLK averaged +20.53% a year, compared with +6.80% for VRSN. XLK had the higher Sharpe ratio over the past year (1.15 vs 0.44), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.15% for XLK and -20.77% for VRSN.
Current Drawdown
VRSN-3.94%XLK-2.09%
Rolling Volatility
VRSN+1.32%XLK+1.15%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VRSNXLK
Alpha
VRSN
12.16%
XLK
11.83%
Beta
VRSN
0.06x
XLK
1.72x
Sharpe
VRSN
0.44
XLK
1.15
Sortino
VRSN
0.61
XLK
1.68
Omega
VRSN
1.08
XLK
1.21
Calmar
VRSN
0.66
XLK
2.25
Martin
VRSN
1.40
XLK
4.75
Comparisons