CGGR vs SPY: returns, Sharpe ratio and drawdown
Performance
CGGR+4.71%SPY+13.70%
Summary
CGGR vs SPY
Over the past year, SPY returned +13.70% against +4.71% for CGGR. SPY had the higher Sharpe ratio over the past year (0.73 vs 0.10), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -15.21% for CGGR.
Current Drawdown
CGGR-3.75%SPY-2.03%
Rolling Volatility
CGGR+1.06%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CGGRSPY
Alpha
CGGR
-10.91%
SPY
0.00%
Beta
CGGR
1.37x
SPY
1.00x
Sharpe
CGGR
0.10
SPY
0.73
Sortino
CGGR
0.14
SPY
1.07
Omega
CGGR
1.02
SPY
1.13
Calmar
CGGR
0.31
SPY
1.50
Martin
CGGR
0.41
SPY
4.19
Comparisons