BC vs SPY: returns, Sharpe ratio and drawdown
Performance
BC+1.63%SPY+13.70%
Summary
BC vs SPY
Over the past year, SPY returned +13.70% against +1.63% for BC. Over five years, SPY averaged +10.77% a year, compared with -7.16% for BC. SPY had the higher Sharpe ratio over the past year (0.73 vs 0.11), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -31.09% for BC.
Current Drawdown
BC-27.85%SPY-2.03%
Rolling Volatility
BC+1.85%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BCSPY
Alpha
BC
-8.43%
SPY
0.00%
Beta
BC
1.35x
SPY
1.00x
Sharpe
BC
0.11
SPY
0.73
Sortino
BC
0.17
SPY
1.07
Omega
BC
1.02
SPY
1.13
Calmar
BC
0.05
SPY
1.50
Martin
BC
0.31
SPY
4.19
Comparisons