FR vs STAG: returns, Sharpe ratio and drawdown
Performance
FR+4.83%STAG-7.61%
Summary
FR vs STAG
Over the past year, FR returned +4.83% against -7.61% for STAG. Over five years, FR averaged +0.18% a year, compared with -3.84% for STAG. FR had the higher Sharpe ratio over the past year (0.11 vs -0.56), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.51% for FR and -16.08% for STAG.
Current Drawdown
FR-14.67%STAG-14.77%
Rolling Volatility
FR+1.03%STAG+1.13%
METRICS
Correlation Matrix
Metrics
Risk Indicators
FRSTAG
Alpha
FR
-1.49%
STAG
-13.11%
Beta
FR
0.38x
STAG
0.26x
Sharpe
FR
0.11
STAG
-0.56
Sortino
FR
0.15
STAG
-0.75
Omega
FR
1.02
STAG
0.91
Calmar
FR
0.31
STAG
-0.47
Martin
FR
0.34
STAG
-1.54
Comparisons