IESC vs SPY: returns, Sharpe ratio and drawdown
Performance
IESC+28.20%SPY+13.70%
Summary
IESC vs SPY
Over the past year, IESC returned +28.20% against +13.70% for SPY. Over five years, IESC averaged +59.32% a year, compared with +10.77% for SPY. SPY had the higher Sharpe ratio over the past year (0.73 vs 0.65), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -36.53% for IESC.
Current Drawdown
IESC-36.53%SPY-2.03%
Rolling Volatility
IESC+2.76%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
IESCSPY
Alpha
IESC
22.88%
SPY
0.00%
Beta
IESC
2.84x
SPY
1.00x
Sharpe
IESC
0.65
SPY
0.73
Sortino
IESC
0.99
SPY
1.07
Omega
IESC
1.12
SPY
1.13
Calmar
IESC
0.77
SPY
1.50
Martin
IESC
3.85
SPY
4.19
Comparisons