ALLY vs OMF: returns, Sharpe ratio and drawdown
Performance
ALLY-6.96%OMF+0.85%
Summary
ALLY vs OMF
Over the past year, OMF returned +0.85% against -6.96% for ALLY. Over five years, OMF averaged +1.17% a year, compared with -4.65% for ALLY. OMF had the higher Sharpe ratio over the past year (0.02 vs -0.28), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -23.59% for ALLY and -30.98% for OMF.
Current Drawdown
ALLY-20.25%OMF-21.61%
Rolling Volatility
ALLY+1.13%OMF+1.27%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ALLYOMF
Alpha
ALLY
-18.29%
OMF
-9.20%
Beta
ALLY
1.13x
OMF
1.05x
Sharpe
ALLY
-0.28
OMF
0.02
Sortino
ALLY
-0.39
OMF
0.03
Omega
ALLY
0.96
OMF
1.00
Calmar
ALLY
-0.30
OMF
0.03
Martin
ALLY
-0.73
OMF
0.04
Comparisons