Performance

WMS-10.13%XLI+9.28%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
WMS	-0.23%	-14.32%	-10.13%	+2.61%	-28.62%	-0.24
XLI	-0.08%	+6.19%	+9.28%	+10.00%	-12.46%	0.35

Summary

WMS vs XLI

Over the past year, XLI returned +9.28% against -10.13% for WMS. Over five years, XLI averaged +10.00% a year, compared with +2.61% for WMS. XLI had the higher Sharpe ratio over the past year (0.35 vs -0.24), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.46% for XLI and -28.62% for WMS.

Current Drawdown

WMS-26.90%XLI-10.05%

Rolling Volatility

WMS+1.56%XLI+0.79%

METRICS

Correlation Matrix

	WMS	XLI
WMS	1.00	0.66
XLI	0.66	1.00

Metrics

Risk Indicators

WMSXLI

Alpha

-21.43%

-2.77%

Beta

1.37x

0.94x

Sharpe

-0.24

0.35

Sortino

-0.36

0.50

Omega

0.96

1.06

Calmar

-0.35

0.74

Martin

-0.53

1.30

Comparisons

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WMS vs BLDR
WMS vs SSD
WMS vs AOS
WMS vs SWK

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XLI vs PAVE
XLI vs VOO
XLI vs DIA
XLI vs ITA
XLI vs XLU
XLI vs AIRR

WMS vs XLI: returns, Sharpe ratio and drawdown

WMS vs XLI

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