LABD vs RWM: returns, Sharpe ratio and drawdown
Performance
LABD-70.40%RWM-9.52%
Summary
LABD vs RWM
Over the past year, RWM returned -9.52% against -70.40% for LABD. Over five years, RWM averaged -6.48% a year, compared with -47.17% for LABD. RWM had the higher Sharpe ratio over the past year (-0.71 vs -1.04), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -25.98% for RWM and -81.93% for LABD.
Current Drawdown
LABD-72.56%RWM-16.65%
Rolling Volatility
LABD+5.85%RWM+0.83%
METRICS
Correlation Matrix
Metrics
Risk Indicators
LABDRWM
Alpha
LABD
-59.86%
RWM
-2.06%
Beta
LABD
-3.22x
RWM
-1.17x
Sharpe
LABD
-1.04
RWM
-0.71
Sortino
LABD
-1.38
RWM
-0.97
Omega
LABD
0.84
RWM
0.89
Calmar
LABD
-0.86
RWM
-0.37
Martin
LABD
-1.58
RWM
-0.76
Comparisons