EWW vs SPEM: returns, Sharpe ratio and drawdown
Performance
EWW+13.65%SPEM+6.54%
Summary
EWW vs SPEM
Over the past year, EWW returned +13.65% against +6.54% for SPEM. Over five years, EWW averaged +9.22% a year, compared with +3.31% for SPEM. EWW had the higher Sharpe ratio over the past year (0.49 vs 0.20), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -11.36% for SPEM and -14.11% for EWW.
Current Drawdown
EWW-7.74%SPEM-5.09%
Rolling Volatility
EWW+1.22%SPEM+0.97%
METRICS
Correlation Matrix
Metrics
Risk Indicators
EWWSPEM
Alpha
EWW
1.85%
SPEM
-7.03%
Beta
EWW
0.98x
SPEM
1.13x
Sharpe
EWW
0.49
SPEM
0.20
Sortino
EWW
0.72
SPEM
0.28
Omega
EWW
1.08
SPEM
1.03
Calmar
EWW
0.97
SPEM
0.58
Martin
EWW
1.85
SPEM
0.94
Comparisons