Performance

BRKR+43.79%RVTY+60.15%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
BRKR	-3.08%	+13.91%	+43.79%	-7.40%	-39.85%	0.86
RVTY	-1.34%	+55.52%	+60.15%	—	-30.14%	1.31

Summary

BRKR vs RVTY

Over the past year, RVTY returned +60.15% against +43.79% for BRKR. RVTY had the higher Sharpe ratio over the past year (1.31 vs 0.86), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -30.14% for RVTY and -39.85% for BRKR.

Current Drawdown

BRKR-15.37%RVTY-3.00%

Rolling Volatility

BRKR+2.78%RVTY+2.01%

METRICS

Correlation Matrix

	BRKR	RVTY
BRKR	1.00	0.65
RVTY	0.65	1.00

Metrics

Risk Indicators

BRKRRVTY

Alpha

35.93%

39.95%

Beta

1.34x

1.16x

Sharpe

0.86

1.31

Sortino

1.26

2.08

Omega

1.16

1.25

Calmar

1.10

2.00

Martin

2.73

3.84

Comparisons

More BRKR comparisons

BRKR vs XLV
BRKR vs SPY
BRKR vs A
BRKR vs TMO
BRKR vs RGEN

More RVTY comparisons

RVTY vs XLV
RVTY vs SPY
RVTY vs TMO
RVTY vs A
RVTY vs CRL

BRKR vs RVTY: returns, Sharpe ratio and drawdown

BRKR vs RVTY

More BRKR comparisons

More RVTY comparisons