XLP vs VOO: returns, Sharpe ratio and drawdown
Performance
XLP+6.89%VOO+15.26%
Summary
XLP vs VOO
Over the past year, VOO returned +15.26% against +6.89% for XLP. Over five years, VOO averaged +11.69% a year, compared with +3.34% for XLP. VOO had the higher Sharpe ratio over the past year (0.82 vs 0.23), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.19% for VOO and -10.75% for XLP.
Current Drawdown
XLP-7.32%VOO-0.69%
Rolling Volatility
XLP+0.85%VOO+0.65%
METRICS
Correlation Matrix
Metrics
Risk Indicators
XLPVOO
Alpha
XLP
3.94%
VOO
-0.03%
Beta
XLP
-0.06x
VOO
1.00x
Sharpe
XLP
0.23
VOO
0.82
Sortino
XLP
0.33
VOO
1.19
Omega
XLP
1.04
VOO
1.15
Calmar
XLP
0.64
VOO
1.66
Martin
XLP
0.59
VOO
4.86
Comparisons