DIS vs SPY: returns, Sharpe ratio and drawdown
Performance
DIS-7.78%SPY+14.93%
Summary
DIS vs SPY
Over the past year, SPY returned +15.36% against -8.01% for DIS. Over five years, SPY averaged +11.86% a year, compared with -9.81% for DIS. SPY had the higher Sharpe ratio over the past year (0.83 vs -0.35), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -20.77% for DIS.
Current Drawdown
DIS-9.48%SPY-1.58%
Rolling Volatility
DIS+1.33%SPY+0.67%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DISSPY
Alpha
DIS
-16.23%
SPY
0.00%
Beta
DIS
0.64x
SPY
1.00x
Sharpe
DIS
-0.35
SPY
0.83
Sortino
DIS
-0.48
SPY
1.20
Omega
DIS
0.94
SPY
1.15
Calmar
DIS
-0.39
SPY
1.68
Martin
DIS
-0.86
SPY
4.87
Comparisons