GLL vs RWM: returns, Sharpe ratio and drawdown
Performance
GLL-3.08%RWM-9.52%
Summary
GLL vs RWM
Over the past year, GLL returned -3.08% against -9.52% for RWM. Over five years, RWM averaged -6.48% a year, compared with -28.81% for GLL. GLL had the higher Sharpe ratio over the past year (0.15 vs -0.71), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -25.98% for RWM and -48.92% for GLL.
Current Drawdown
GLL-20.71%RWM-16.65%
Rolling Volatility
GLL+2.55%RWM+0.83%
METRICS
Correlation Matrix
Metrics
Risk Indicators
GLLRWM
Alpha
GLL
23.43%
RWM
-2.06%
Beta
GLL
-1.59x
RWM
-1.17x
Sharpe
GLL
0.15
RWM
-0.71
Sortino
GLL
0.23
RWM
-0.97
Omega
GLL
1.03
RWM
0.89
Calmar
GLL
-0.06
RWM
-0.37
Martin
GLL
0.31
RWM
-0.76
Comparisons