Performance

COWZ+22.59%SPY+13.70%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
COWZ	+0.01%	+16.38%	+22.59%	+9.39%	-7.79%	1.38
SPY	-1.11%	+11.72%	+13.70%	+10.77%	-9.13%	0.73

Summary

COWZ vs SPY

Over the past year, COWZ returned +22.59% against +13.70% for SPY. Over five years, SPY averaged +10.77% a year, compared with +9.39% for COWZ. COWZ had the higher Sharpe ratio over the past year (1.38 vs 0.73), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.79% for COWZ and -9.13% for SPY.

Current Drawdown

COWZ-2.85%SPY-2.03%

Rolling Volatility

COWZ+0.72%SPY+0.63%

METRICS

Correlation Matrix

	COWZ	SPY
COWZ	1.00	0.39
SPY	0.39	1.00

Metrics

Risk Indicators

COWZSPY

Alpha

13.33%

0.00%

Beta

0.38x

1.00x

Sharpe

1.38

0.73

Sortino

2.17

1.07

Omega

1.25

1.13

Calmar

2.90

1.50

Martin

6.04

4.19

Comparisons

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COWZ vs SPY: returns, Sharpe ratio and drawdown

COWZ vs SPY

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