FR vs REXR: returns, Sharpe ratio and drawdown
Performance
FR+4.83%REXR-16.76%
Summary
FR vs REXR
Over the past year, FR returned +4.83% against -16.76% for REXR. Over five years, FR averaged +0.18% a year, compared with -11.40% for REXR. FR had the higher Sharpe ratio over the past year (0.11 vs -0.80), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.51% for FR and -26.64% for REXR.
Current Drawdown
FR-14.67%REXR-16.76%
Rolling Volatility
FR+1.03%REXR+1.37%
METRICS
Correlation Matrix
Metrics
Risk Indicators
FRREXR
Alpha
FR
-1.49%
REXR
-24.27%
Beta
FR
0.38x
REXR
0.46x
Sharpe
FR
0.11
REXR
-0.80
Sortino
FR
0.15
REXR
-1.17
Omega
FR
1.02
REXR
0.87
Calmar
FR
0.31
REXR
-0.63
Martin
FR
0.34
REXR
-1.21
Comparisons