Performance

XLY-1.33%XLP+6.82%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
XLY	+1.02%	-4.65%	-1.33%	+3.62%	-15.15%	-0.21
XLP	+0.01%	+7.39%	+6.82%	+3.34%	-10.75%	0.22

Summary

XLY vs XLP

Over the past year, XLP returned +6.82% against -1.33% for XLY. Over five years, XLY averaged +3.62% a year, compared with +3.34% for XLP. XLP had the higher Sharpe ratio over the past year (0.22 vs -0.21), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -10.75% for XLP and -15.15% for XLY.

Current Drawdown

XLY-9.37%XLP-7.31%

Rolling Volatility

XLY+0.85%XLP+0.85%

METRICS

Correlation Matrix

	XLY	XLP
XLY	1.00	0.18
XLP	0.18	1.00

Metrics

Risk Indicators

XLYXLP

Alpha

-20.57%

4.08%

Beta

1.17x

-0.06x

Sharpe

-0.21

0.22

Sortino

-0.29

0.33

Omega

0.97

1.04

Calmar

-0.09

0.63

Martin

-0.59

0.58

Comparisons

More XLY comparisons

XLY vs SPY
XLY vs XLK
XLY vs VOO

More XLP comparisons

XLP vs SCHD
XLP vs VOO
XLP vs XLU

XLY vs XLP: returns, Sharpe ratio and drawdown

XLY vs XLP

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