LFUS vs SPY: returns, Sharpe ratio and drawdown
Performance
LFUS+40.87%SPY+13.70%
Summary
LFUS vs SPY
Over the past year, LFUS returned +40.87% against +13.70% for SPY. Over five years, SPY averaged +10.77% a year, compared with +5.31% for LFUS. LFUS had the higher Sharpe ratio over the past year (0.94 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 -22.12% for LFUS.
Current Drawdown
LFUS-22.12%SPY-2.03%
Rolling Volatility
LFUS+2.20%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
LFUSSPY
Alpha
LFUS
22.46%
SPY
0.00%
Beta
LFUS
1.76x
SPY
1.00x
Sharpe
LFUS
0.94
SPY
0.73
Sortino
LFUS
1.38
SPY
1.07
Omega
LFUS
1.17
SPY
1.13
Calmar
LFUS
1.85
SPY
1.50
Martin
LFUS
4.01
SPY
4.19
Comparisons