Performance

MAR+35.67%RL+13.77%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
MAR	+1.28%	+15.21%	+35.67%	+17.73%	-18.32%	1.10
RL	+1.73%	+1.34%	+13.77%	+25.41%	-19.59%	0.42

Summary

MAR vs RL

Over the past year, MAR returned +35.67% against +13.77% for RL. Over five years, RL averaged +25.41% a year, compared with +17.73% for MAR. MAR had the higher Sharpe ratio over the past year (1.10 vs 0.42), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.32% for MAR and -19.59% for RL.

Current Drawdown

MAR-10.30%RL-11.31%

Rolling Volatility

MAR+1.11%RL+1.53%

METRICS

Correlation Matrix

	MAR	RL
MAR	1.00	0.47
RL	0.47	1.00

Metrics

Risk Indicators

MARRL

Alpha

23.46%

1.31%

Beta

0.62x

1.24x

Sharpe

1.10

0.42

Sortino

1.75

0.65

Omega

1.21

1.07

Calmar

1.95

0.70

Martin

4.04

1.75

Comparisons

More MAR comparisons

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

More RL comparisons

RL vs XLY
RL vs SPY
RL vs WSM
RL vs TPR
RL vs CCL

MAR vs RL: returns, Sharpe ratio and drawdown

MAR vs RL

More MAR comparisons

More RL comparisons