XLF vs ZION: returns, Sharpe ratio and drawdown
Performance
XLF+5.17%ZION+21.91%
Summary
XLF vs ZION
Over the past year, ZION returned +21.91% against +5.17% for XLF. Over five years, XLF averaged +6.68% a year, compared with +0.12% for ZION. ZION had the higher Sharpe ratio over the past year (0.75 vs 0.11), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.23% for XLF and -18.67% for ZION.
Current Drawdown
XLF-5.19%ZION-13.56%
Rolling Volatility
XLF+0.77%ZION+1.02%
METRICS
Correlation Matrix
Metrics
Risk Indicators
XLFZION
Alpha
XLF
-3.77%
ZION
11.80%
Beta
XLF
0.58x
ZION
0.74x
Sharpe
XLF
0.11
ZION
0.75
Sortino
XLF
0.16
ZION
1.03
Omega
XLF
1.02
ZION
1.13
Calmar
XLF
0.34
ZION
1.17
Martin
XLF
0.26
ZION
2.55
Comparisons