ADP vs SPY: returns, Sharpe ratio and drawdown
Performance
ADP-5.02%SPY+19.23%
Summary
ADP vs SPY
Over the past year, SPY returned +19.23% against -5.02% for ADP. Over five years, SPY averaged +11.83% a year, compared with +4.94% for ADP. SPY had the higher Sharpe ratio over the past year (1.11 vs -0.21), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -33.97% for ADP.
Current Drawdown
ADP-5.77%SPY-0.07%
Rolling Volatility
ADP+1.36%SPY+0.62%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ADPSPY
Alpha
ADP
-5.71%
SPY
0.00%
Beta
ADP
-0.01x
SPY
1.00x
Sharpe
ADP
-0.21
SPY
1.11
Sortino
ADP
-0.32
SPY
1.64
Omega
ADP
0.96
SPY
1.20
Calmar
ADP
-0.15
SPY
2.11
Martin
ADP
-0.34
SPY
6.38
Comparisons