CRDO vs SPY: returns, Sharpe ratio and drawdown
Performance
CRDO+11.90%SPY+13.70%
Summary
CRDO vs SPY
Over the past year, SPY returned +13.70% against +11.89% for CRDO. SPY had the higher Sharpe ratio over the past year (0.73 vs 0.55), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -53.59% for CRDO.
Current Drawdown
CRDO-43.90%SPY-2.03%
Rolling Volatility
CRDO+4.87%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CRDOSPY
Alpha
CRDO
21.35%
SPY
0.00%
Beta
CRDO
3.31x
SPY
1.00x
Sharpe
CRDO
0.55
SPY
0.73
Sortino
CRDO
0.81
SPY
1.07
Omega
CRDO
1.09
SPY
1.13
Calmar
CRDO
0.22
SPY
1.50
Martin
CRDO
1.88
SPY
4.19
Comparisons