AWI vs SPY: returns, Sharpe ratio and drawdown
Performance
AWI-16.43%SPY+13.70%
Summary
AWI vs SPY
Over the past year, SPY returned +13.70% against -16.43% for AWI. Over five years, SPY averaged +10.77% a year, compared with +9.81% for AWI. SPY had the higher Sharpe ratio over the past year (0.73 vs -0.70), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -25.66% for AWI.
Current Drawdown
AWI-17.45%SPY-2.03%
Rolling Volatility
AWI+0.95%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AWISPY
Alpha
AWI
-26.16%
SPY
0.00%
Beta
AWI
0.77x
SPY
1.00x
Sharpe
AWI
-0.70
SPY
0.73
Sortino
AWI
-0.94
SPY
1.07
Omega
AWI
0.89
SPY
1.13
Calmar
AWI
-0.64
SPY
1.50
Martin
AWI
-1.19
SPY
4.19
Comparisons