HSIC vs SOLV: returns, Sharpe ratio and drawdown
Performance
HSIC+31.07%SOLV+20.35%
Summary
HSIC vs SOLV
Over the past year, HSIC returned +31.07% against +20.35% for SOLV. Over five years, SOLV averaged +8.71% a year, compared with +1.80% for HSIC. HSIC had the higher Sharpe ratio over the past year (1.03 vs 0.63), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.23% for HSIC and -27.46% for SOLV.
Current Drawdown
HSIC-6.86%SOLV-6.52%
Rolling Volatility
HSIC+1.26%SOLV+1.13%
METRICS
Correlation Matrix
Metrics
Risk Indicators
HSICSOLV
Alpha
HSIC
20.74%
SOLV
12.50%
Beta
HSIC
0.50x
SOLV
0.56x
Sharpe
HSIC
1.03
SOLV
0.63
Sortino
HSIC
1.66
SOLV
0.96
Omega
HSIC
1.19
SOLV
1.11
Calmar
HSIC
1.80
SOLV
0.74
Martin
HSIC
4.28
SOLV
1.58
Comparisons