FRT vs SPG: returns, Sharpe ratio and drawdown
Performance
FRT+8.54%SPG+11.61%
Summary
FRT vs SPG
Over the past year, SPG returned +11.61% against +8.54% for FRT. Over five years, SPG averaged +7.34% a year, compared with -3.20% for FRT. SPG had the higher Sharpe ratio over the past year (0.45 vs 0.31), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.52% for SPG and -17.32% for FRT.
Current Drawdown
FRT-17.05%SPG-15.67%
Rolling Volatility
FRT+0.54%SPG+0.70%
METRICS
Correlation Matrix
Metrics
Risk Indicators
FRTSPG
Alpha
FRT
3.55%
SPG
5.64%
Beta
FRT
0.15x
SPG
0.25x
Sharpe
FRT
0.31
SPG
0.45
Sortino
FRT
0.45
SPG
0.65
Omega
FRT
1.05
SPG
1.08
Calmar
FRT
0.49
SPG
0.70
Martin
FRT
0.99
SPG
1.46
Comparisons