GS vs SPY: returns, Sharpe ratio and drawdown
Performance
GS+15.06%SPY+14.93%
Summary
GS vs SPY
Over the past year, SPY returned +15.36% against +13.95% for GS. Over five years, GS averaged +18.51% a year, compared with +11.86% for SPY. SPY had the higher Sharpe ratio over the past year (0.83 vs 0.43), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -20.47% for GS.
Current Drawdown
GS-20.47%SPY-1.58%
Rolling Volatility
GS+1.72%SPY+0.67%
METRICS
Correlation Matrix
Metrics
Risk Indicators
GSSPY
Alpha
GS
-3.40%
SPY
0.00%
Beta
GS
1.60x
SPY
1.00x
Sharpe
GS
0.43
SPY
0.83
Sortino
GS
0.63
SPY
1.20
Omega
GS
1.08
SPY
1.15
Calmar
GS
0.68
SPY
1.68
Martin
GS
1.69
SPY
4.87