AKAM vs SPY: returns, Sharpe ratio and drawdown
Performance
AKAM+33.64%SPY+15.31%
Summary
AKAM vs SPY
Over the past year, AKAM returned +33.64% against +15.31% for SPY. Over five years, SPY averaged +11.69% a year, compared with -1.04% for AKAM. SPY had the higher Sharpe ratio over the past year (0.83 vs 0.71), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -37.38% for AKAM.
Current Drawdown
AKAM-37.38%SPY-0.66%
Rolling Volatility
AKAM+3.68%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AKAMSPY
Alpha
AKAM
28.86%
SPY
0.00%
Beta
AKAM
1.29x
SPY
1.00x
Sharpe
AKAM
0.71
SPY
0.83
Sortino
AKAM
1.15
SPY
1.19
Omega
AKAM
1.15
SPY
1.15
Calmar
AKAM
0.90
SPY
1.68
Martin
AKAM
2.39
SPY
4.84
Comparisons