ALSN vs SPY: returns, Sharpe ratio and drawdown
Performance
ALSN+37.38%SPY+13.70%
Summary
ALSN vs SPY
Over the past year, ALSN returned +37.38% against +13.70% for SPY. Over five years, ALSN averaged +27.57% a year, compared with +10.77% for SPY. ALSN had the higher Sharpe ratio over the past year (1.04 vs 0.73), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -20.58% for ALSN.
Current Drawdown
ALSN-17.79%SPY-2.03%
Rolling Volatility
ALSN+1.58%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ALSNSPY
Alpha
ALSN
22.73%
SPY
0.00%
Beta
ALSN
1.05x
SPY
1.00x
Sharpe
ALSN
1.04
SPY
0.73
Sortino
ALSN
1.58
SPY
1.07
Omega
ALSN
1.18
SPY
1.13
Calmar
ALSN
1.82
SPY
1.50
Martin
ALSN
3.39
SPY
4.19
Comparisons