L vs WTM: returns, Sharpe ratio and drawdown
Performance
L+11.41%WTM+11.80%
Summary
L vs WTM
Over the past year, WTM returned +11.80% against +11.41% for L. Over five years, WTM averaged +15.52% a year, compared with +14.64% for L. L had the higher Sharpe ratio over the past year (0.48 vs 0.45), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.54% for L and -14.22% for WTM.
Current Drawdown
L-7.44%WTM-6.86%
Rolling Volatility
L+0.88%WTM+0.74%
METRICS
Correlation Matrix
Metrics
Risk Indicators
LWTM
Alpha
L
8.26%
WTM
7.72%
Beta
L
-0.06x
WTM
0.10x
Sharpe
L
0.48
WTM
0.45
Sortino
L
0.67
WTM
0.70
Omega
L
1.08
WTM
1.08
Calmar
L
0.91
WTM
0.83
Martin
L
1.52
WTM
1.26