BALL vs SPY: returns, Sharpe ratio and drawdown
Performance
BALL+22.19%SPY+15.31%
Summary
BALL vs SPY
Over the past year, BALL returned +22.19% against +15.31% for SPY. Over five years, SPY averaged +11.69% a year, compared with -3.96% for BALL. SPY had the higher Sharpe ratio over the past year (0.83 vs 0.74), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -22.34% for BALL.
Current Drawdown
BALL-13.86%SPY-0.66%
Rolling Volatility
BALL+1.19%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BALLSPY
Alpha
BALL
17.23%
SPY
0.00%
Beta
BALL
0.17x
SPY
1.00x
Sharpe
BALL
0.74
SPY
0.83
Sortino
BALL
1.15
SPY
1.19
Omega
BALL
1.14
SPY
1.15
Calmar
BALL
0.99
SPY
1.68
Martin
BALL
2.04
SPY
4.84
Comparisons