MLI vs ST: returns, Sharpe ratio and drawdown
Performance
MLI+19.82%ST+27.73%
Summary
MLI vs ST
Over the past year, ST returned +27.73% against +19.82% for MLI. Over five years, MLI averaged +35.75% a year, compared with -5.97% for ST. ST had the higher Sharpe ratio over the past year (0.71 vs 0.58), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -22.58% for MLI and -24.22% for ST.
Current Drawdown
MLI-14.69%ST-24.22%
Rolling Volatility
MLI+1.26%ST+1.62%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MLIST
Alpha
MLI
10.54%
ST
10.72%
Beta
MLI
0.94x
ST
1.87x
Sharpe
MLI
0.58
ST
0.71
Sortino
MLI
0.81
ST
1.10
Omega
MLI
1.11
ST
1.12
Calmar
MLI
0.88
ST
1.14
Martin
MLI
1.79
ST
2.47
Comparisons