CUZ vs SPY: returns, Sharpe ratio and drawdown
Performance
CUZ+3.95%SPY+13.70%
Summary
CUZ vs SPY
Over the past year, SPY returned +13.70% against +3.95% for CUZ. Over five years, SPY averaged +10.77% a year, compared with -6.99% for CUZ. SPY had the higher Sharpe ratio over the past year (0.73 vs 0.11), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -20.93% for CUZ.
Current Drawdown
CUZ-14.43%SPY-2.03%
Rolling Volatility
CUZ+1.47%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CUZSPY
Alpha
CUZ
-2.55%
SPY
0.00%
Beta
CUZ
0.59x
SPY
1.00x
Sharpe
CUZ
0.11
SPY
0.73
Sortino
CUZ
0.15
SPY
1.07
Omega
CUZ
1.02
SPY
1.13
Calmar
CUZ
0.19
SPY
1.50
Martin
CUZ
0.33
SPY
4.19
Comparisons