ARMK vs SE: returns, Sharpe ratio and drawdown
Performance
ARMK+42.62%SE-43.41%
Summary
ARMK vs SE
Over the past year, ARMK returned +42.62% against -43.41% for SE. Over five years, ARMK averaged +15.33% a year, compared with -23.00% for SE. ARMK had the higher Sharpe ratio over the past year (1.34 vs -0.99), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -14.17% for ARMK and -52.83% for SE.
Current Drawdown
ARMK-11.40%SE-43.41%
Rolling Volatility
ARMK+1.06%SE+1.56%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ARMKSE
Alpha
ARMK
29.65%
SE
-61.58%
Beta
ARMK
0.55x
SE
1.30x
Sharpe
ARMK
1.34
SE
-0.99
Sortino
ARMK
2.28
SE
-1.38
Omega
ARMK
1.29
SE
0.84
Calmar
ARMK
3.01
SE
-0.82
Martin
ARMK
6.49
SE
-1.36
Comparisons