NOC vs SPY: returns, Sharpe ratio and drawdown
Performance
NOC-22.90%SPY+19.23%
Summary
NOC vs SPY
Over the past year, SPY returned +19.23% against -22.90% for NOC. Over five years, SPY averaged +11.83% a year, compared with +4.00% for NOC. SPY had the higher Sharpe ratio over the past year (1.11 vs -0.97), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -38.35% for NOC.
Current Drawdown
NOC-37.41%SPY-0.07%
Rolling Volatility
NOC+1.49%SPY+0.62%
METRICS
Correlation Matrix
Metrics
Risk Indicators
NOCSPY
Alpha
NOC
-27.66%
SPY
0.00%
Beta
NOC
0.05x
SPY
1.00x
Sharpe
NOC
-0.97
SPY
1.11
Sortino
NOC
-1.31
SPY
1.64
Omega
NOC
0.85
SPY
1.20
Calmar
NOC
-0.60
SPY
2.11
Martin
NOC
-1.26
SPY
6.38
Comparisons