DRS vs SPY: returns, Sharpe ratio and drawdown
Performance
DRS-11.25%SPY+13.70%
Summary
DRS vs SPY
Over the past year, SPY returned +13.70% against -11.25% for DRS. SPY had the higher Sharpe ratio over the past year (0.73 vs -0.23), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -29.68% for DRS.
Current Drawdown
DRS-28.72%SPY-2.03%
Rolling Volatility
DRS+1.16%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DRSSPY
Alpha
DRS
-18.16%
SPY
0.00%
Beta
DRS
0.97x
SPY
1.00x
Sharpe
DRS
-0.23
SPY
0.73
Sortino
DRS
-0.36
SPY
1.07
Omega
DRS
0.96
SPY
1.13
Calmar
DRS
-0.38
SPY
1.50
Martin
DRS
-0.64
SPY
4.19
Comparisons