Performance

MAR+35.67%TPR+2.06%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
MAR	+1.28%	+15.21%	+35.67%	+17.73%	-18.32%	1.10
TPR	+2.12%	-10.27%	+2.06%	+24.27%	-32.93%	0.15

Summary

MAR vs TPR

Over the past year, MAR returned +35.67% against +2.06% for TPR. Over five years, TPR averaged +24.27% a year, compared with +17.73% for MAR. MAR had the higher Sharpe ratio over the past year (1.10 vs 0.15), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.32% for MAR and -32.93% for TPR.

Current Drawdown

MAR-10.30%TPR-29.71%

Rolling Volatility

MAR+1.11%TPR+1.59%

METRICS

Correlation Matrix

	MAR	TPR
MAR	1.00	0.37
TPR	0.37	1.00

Metrics

Risk Indicators

MARTPR

Alpha

23.46%

-5.25%

Beta

0.62x

1.07x

Sharpe

1.10

0.15

Sortino

1.75

0.20

Omega

1.21

1.03

Calmar

1.95

0.06

Martin

4.04

0.46

Comparisons

More MAR comparisons

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

More TPR comparisons

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

MAR vs TPR: returns, Sharpe ratio and drawdown

MAR vs TPR

More MAR comparisons

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