Performance

MAR+35.67%NVR-21.22%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
MAR	+1.28%	+15.21%	+35.67%	+17.73%	-18.32%	1.10
NVR	+1.20%	-17.53%	-21.22%	+3.87%	-31.40%	-0.91

Summary

MAR vs NVR

Over the past year, MAR returned +35.67% against -21.22% for NVR. Over five years, MAR averaged +17.73% a year, compared with +3.87% for NVR. MAR had the higher Sharpe ratio over the past year (1.10 vs -0.91), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.32% for MAR and -31.40% for NVR.

Current Drawdown

MAR-10.30%NVR-25.99%

Rolling Volatility

MAR+1.11%NVR+1.33%

METRICS

Correlation Matrix

	MAR	NVR
MAR	1.00	0.48
NVR	0.48	1.00

Metrics

Risk Indicators

MARNVR

Alpha

23.46%

-30.77%

Beta

0.62x

0.54x

Sharpe

1.10

-0.91

Sortino

1.75

-1.25

Omega

1.21

0.86

Calmar

1.95

-0.68

Martin

4.04

-1.45

Comparisons

More MAR comparisons

MAR vs XLY
MAR vs SPY
MAR vs HLT
MAR vs CCL
MAR vs PHM

More NVR comparisons

NVR vs XLY
NVR vs SPY
NVR vs PHM
NVR vs DHI
NVR vs HD
NVR vs LEN

MAR vs NVR: returns, Sharpe ratio and drawdown

MAR vs NVR

More MAR comparisons

More NVR comparisons