AVY vs SW: returns, Sharpe ratio and drawdown
Performance
AVY+4.23%SW-3.36%
Summary
AVY vs SW
Over the past year, AVY returned +4.23% against -3.36% for SW. Over five years, AVY averaged -4.40% a year, compared with -7.25% for SW. AVY had the higher Sharpe ratio over the past year (0.11 vs 0.04), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -22.51% for AVY and -31.29% for SW.
Current Drawdown
AVY-15.11%SW-20.04%
Rolling Volatility
AVY+0.95%SW+1.69%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AVYSW
Alpha
AVY
-1.89%
SW
-14.44%
Beta
AVY
0.45x
SW
1.52x
Sharpe
AVY
0.11
SW
0.04
Sortino
AVY
0.19
SW
0.06
Omega
AVY
1.02
SW
1.01
Calmar
AVY
0.19
SW
-0.11
Martin
AVY
0.23
SW
0.12
Comparisons