Performance

BA-9.66%SPY+19.23%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
BA	+1.40%	-16.42%	-9.66%	-2.60%	-26.87%	-0.26
SPY	+0.60%	+13.96%	+19.23%	+11.83%	-9.13%	1.11

Summary

BA vs SPY

Over the past year, SPY returned +19.23% against -9.66% for BA. Over five years, SPY averaged +11.83% a year, compared with -2.60% for BA. SPY had the higher Sharpe ratio over the past year (1.11 vs -0.26), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -26.87% for BA.

Current Drawdown

BA-24.50%SPY-0.07%

Rolling Volatility

BA+2.22%SPY+0.62%

METRICS

Correlation Matrix

	BA	SPY
BA	1.00	0.46
SPY	0.46	1.00

Metrics

Risk Indicators

BASPY

Alpha

-26.61%

0.00%

Beta

1.25x

1.00x

Sharpe

-0.26

1.11

Sortino

-0.39

1.64

Omega

0.96

1.20

Calmar

-0.36

2.11

Martin

-0.69

6.38

Comparisons

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BA vs SPY: returns, Sharpe ratio and drawdown

BA vs SPY

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