COHR vs SPY: returns, Sharpe ratio and drawdown
Performance
COHR+93.76%SPY+13.70%
Summary
COHR vs SPY
Over the past year, COHR returned +93.76% against +13.70% for SPY. Over five years, COHR averaged +31.17% a year, compared with +10.77% for SPY. COHR had the higher Sharpe ratio over the past year (1.15 vs 0.73), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -47.98% for COHR.
Current Drawdown
COHR-45.44%SPY-2.03%
Rolling Volatility
COHR+5.27%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
COHRSPY
Alpha
COHR
69.70%
SPY
0.00%
Beta
COHR
3.37x
SPY
1.00x
Sharpe
COHR
1.15
SPY
0.73
Sortino
COHR
1.72
SPY
1.07
Omega
COHR
1.21
SPY
1.13
Calmar
COHR
1.95
SPY
1.50
Martin
COHR
5.49
SPY
4.19
Comparisons