XLU vs GRID: returns, Sharpe ratio and drawdown
Performance
XLU-7.78%GRID+9.26%
Summary
XLU vs GRID
Over the past year, GRID returned +9.26% against -7.78% for XLU. Over five years, GRID averaged +10.84% a year, compared with +4.79% for XLU. GRID had the higher Sharpe ratio over the past year (0.31 vs -0.74), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.16% for GRID and -17.77% for XLU.
Current Drawdown
XLU-11.57%GRID-14.99%
Rolling Volatility
XLU+1.05%GRID+1.36%
METRICS
Correlation Matrix
Metrics
Risk Indicators
XLUGRID
Alpha
XLU
-12.73%
GRID
-6.42%
Beta
XLU
0.13x
GRID
1.49x
Sharpe
XLU
-0.74
GRID
0.31
Sortino
XLU
-0.99
GRID
0.42
Omega
XLU
0.89
GRID
1.05
Calmar
XLU
-0.44
GRID
0.57
Martin
XLU
-1.62
GRID
1.15
Comparisons