META vs SPY: returns, Sharpe ratio and drawdown
Performance
META+1.90%SPY+19.23%
Summary
META vs SPY
Over the past year, SPY returned +19.23% against +1.90% for META. Over five years, META averaged +17.27% a year, compared with +11.83% for SPY. SPY had the higher Sharpe ratio over the past year (1.11 vs 0.15), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -30.06% for META.
Current Drawdown
META-7.58%SPY-0.07%
Rolling Volatility
META+3.22%SPY+0.62%
METRICS
Correlation Matrix
Metrics
Risk Indicators
METASPY
Alpha
META
-15.26%
SPY
0.00%
Beta
META
1.51x
SPY
1.00x
Sharpe
META
0.15
SPY
1.11
Sortino
META
0.21
SPY
1.64
Omega
META
1.03
SPY
1.20
Calmar
META
0.06
SPY
2.11
Martin
META
0.36
SPY
6.38
Comparisons