Performance

WSM+26.26%XLY-5.02%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
WSM	-0.61%	+27.23%	+26.26%	+21.33%	-23.58%	0.74
XLY	+0.31%	-5.61%	-5.02%	+3.41%	-15.15%	-0.40

Summary

WSM vs XLY

Over the past year, WSM returned +26.26% against -5.02% for XLY. Over five years, WSM averaged +21.33% a year, compared with +3.41% for XLY. WSM had the higher Sharpe ratio over the past year (0.74 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 -23.58% for WSM.

Current Drawdown

WSM-5.08%XLY-10.29%

Rolling Volatility

WSM+1.64%XLY+0.83%

METRICS

Correlation Matrix

	WSM	XLY
WSM	1.00	0.51
XLY	0.51	1.00

Metrics

Risk Indicators

WSMXLY

Alpha

11.72%

-20.36%

Beta

1.20x

1.16x

Sharpe

0.74

-0.40

Sortino

1.15

-0.55

Omega

1.13

0.94

Calmar

1.11

-0.33

Martin

2.52

-1.16

Comparisons

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WSM vs SPY
WSM vs HD
WSM vs PHM
WSM vs RL
WSM vs LOW

More XLY comparisons

XLY vs XLP
XLY vs SPY
XLY vs XLK
XLY vs VOO

WSM vs XLY: returns, Sharpe ratio and drawdown

WSM vs XLY

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