ALLY vs SLM: returns, Sharpe ratio and drawdown
Performance
ALLY-6.96%SLM-16.37%
Summary
ALLY vs SLM
Over the past year, ALLY returned -6.96% against -16.37% for SLM. Over five years, SLM averaged +3.54% a year, compared with -4.65% for ALLY. ALLY had the higher Sharpe ratio over the past year (-0.28 vs -0.38), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -23.59% for ALLY and -39.25% for SLM.
Current Drawdown
ALLY-20.25%SLM-29.30%
Rolling Volatility
ALLY+1.13%SLM+1.52%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ALLYSLM
Alpha
ALLY
-18.29%
SLM
-24.08%
Beta
ALLY
1.13x
SLM
1.00x
Sharpe
ALLY
-0.28
SLM
-0.38
Sortino
ALLY
-0.39
SLM
-0.47
Omega
ALLY
0.96
SLM
0.93
Calmar
ALLY
-0.30
SLM
-0.42
Martin
ALLY
-0.73
SLM
-0.68
Comparisons