Performance

CHRW+9.65%SPY+15.31%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
CHRW	+4.56%	-13.67%	+9.65%	+8.38%	-35.51%	0.34
SPY	-0.42%	+13.29%	+15.31%	+11.69%	-9.13%	0.83

Summary

CHRW vs SPY

Over the past year, SPY returned +15.31% against +9.65% for CHRW. Over five years, SPY averaged +11.69% a year, compared with +8.38% for CHRW. SPY had the higher Sharpe ratio over the past year (0.83 vs 0.34), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -35.51% for CHRW.

Current Drawdown

CHRW-32.51%SPY-0.66%

Rolling Volatility

CHRW+3.13%SPY+0.63%

METRICS

Correlation Matrix

	CHRW	SPY
CHRW	1.00	0.16
SPY	0.16	1.00

Metrics

Risk Indicators

CHRWSPY

Alpha

9.82%

0.00%

Beta

0.56x

1.00x

Sharpe

0.34

0.83

Sortino

0.47

1.19

Omega

1.07

1.15

Calmar

0.27

1.68

Martin

1.03

4.84

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CHRW vs SPY: returns, Sharpe ratio and drawdown

CHRW vs SPY

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