Performance

ING+39.38%SPY+13.70%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
ING	+0.54%	+16.31%	+39.38%	+17.32%	-19.86%	1.19
SPY	-1.11%	+11.72%	+13.70%	+10.77%	-9.13%	0.73

Summary

ING vs SPY

Over the past year, ING returned +39.38% against +13.70% for SPY. Over five years, ING averaged +17.32% a year, compared with +10.77% for SPY. ING had the higher Sharpe ratio over the past year (1.19 vs 0.73), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -19.86% for ING.

Current Drawdown

ING-10.25%SPY-2.03%

Rolling Volatility

ING+1.29%SPY+0.63%

METRICS

Correlation Matrix

	ING	SPY
ING	1.00	0.61
SPY	0.61	1.00

Metrics

Risk Indicators

INGSPY

Alpha

20.52%

0.00%

Beta

1.33x

1.00x

Sharpe

1.19

0.73

Sortino

1.88

1.07

Omega

1.22

1.13

Calmar

1.98

1.50

Martin

5.21

4.19

Comparisons

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ING vs SPY: returns, Sharpe ratio and drawdown

ING vs SPY

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