Performance

XLF+1.71%VOO+15.26%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
XLF	+0.89%	-1.27%	+1.71%	+6.56%	-15.23%	-0.12
VOO	-0.43%	+13.21%	+15.26%	+11.69%	-9.19%	0.82

Summary

XLF vs VOO

Over the past year, VOO returned +15.26% against +1.71% for XLF. Over five years, VOO averaged +11.69% a year, compared with +6.56% for XLF. VOO had the higher Sharpe ratio over the past year (0.82 vs -0.12), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.19% for VOO and -15.23% for XLF.

Current Drawdown

XLF-7.39%VOO-0.69%

Rolling Volatility

XLF+0.73%VOO+0.65%

METRICS

Correlation Matrix

	XLF	VOO
XLF	1.00	0.55
VOO	0.55	1.00

Metrics

Risk Indicators

XLFVOO

Alpha

-8.39%

-0.03%

Beta

0.62x

1.00x

Sharpe

-0.12

0.82

Sortino

-0.16

1.19

Omega

0.98

1.15

Calmar

0.11

1.66

Martin

-0.27

4.86

Comparisons

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XLF vs SPY
XLF vs QQQ

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VOO vs VTI
VOO vs QQQ
VOO vs VT
VOO vs VUG
VOO vs SCHD
VOO vs SCHG

XLF vs VOO: returns, Sharpe ratio and drawdown

XLF vs VOO

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