Performance

XLY-5.02%SPY+15.31%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
XLY	+0.31%	-5.61%	-5.02%	+3.41%	-15.15%	-0.40
SPY	-0.42%	+13.29%	+15.31%	+11.69%	-9.13%	0.83

Summary

XLY vs SPY

Over the past year, SPY returned +15.31% against -5.02% for XLY. Over five years, SPY averaged +11.69% a year, compared with +3.41% for XLY. SPY had the higher Sharpe ratio over the past year (0.83 vs -0.40), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -15.15% for XLY.

Current Drawdown

XLY-10.29%SPY-0.66%

Rolling Volatility

XLY+0.83%SPY+0.63%

METRICS

Correlation Matrix

	XLY	SPY
XLY	1.00	0.78
SPY	0.78	1.00

Metrics

Risk Indicators

XLYSPY

Alpha

-20.36%

0.00%

Beta

1.16x

1.00x

Sharpe

-0.40

0.83

Sortino

-0.55

1.19

Omega

0.94

1.15

Calmar

-0.33

1.68

Martin

-1.16

4.84

Comparisons

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XLY vs SPY: returns, Sharpe ratio and drawdown

XLY vs SPY

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