MSCI vs SPGI: returns, Sharpe ratio and drawdown
Performance
MSCI+0.60%SPGI-17.41%
Summary
MSCI vs SPGI
Over the past year, MSCI returned +0.60% against -17.41% for SPGI. Over five years, MSCI averaged -1.84% a year, compared with -1.93% for SPGI. MSCI had the higher Sharpe ratio over the past year (0.02 vs -0.64), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.07% for MSCI and -29.30% for SPGI.
Current Drawdown
MSCI-12.76%SPGI-26.29%
Rolling Volatility
MSCI+1.28%SPGI+1.14%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MSCISPGI
Alpha
MSCI
-3.29%
SPGI
-23.01%
Beta
MSCI
0.37x
SPGI
0.35x
Sharpe
MSCI
0.02
SPGI
-0.64
Sortino
MSCI
0.03
SPGI
-0.81
Omega
MSCI
1.00
SPGI
0.89
Calmar
MSCI
0.03
SPGI
-0.59
Martin
MSCI
0.08
SPGI
-1.02
Comparisons