Performance

NOV+48.35%SPY+13.70%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
NOV	+1.56%	+15.36%	+48.35%	+6.23%	-17.06%	1.17
SPY	-1.11%	+11.72%	+13.70%	+10.77%	-9.13%	0.73

Summary

NOV vs SPY

Over the past year, NOV returned +48.35% against +13.70% for SPY. Over five years, SPY averaged +10.77% a year, compared with +6.23% for NOV. NOV had the higher Sharpe ratio over the past year (1.17 vs 0.73), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -17.06% for NOV.

Current Drawdown

NOV-12.81%SPY-2.03%

Rolling Volatility

NOV+1.59%SPY+0.63%

METRICS

Correlation Matrix

	NOV	SPY
NOV	1.00	0.24
SPY	0.24	1.00

Metrics

Risk Indicators

NOVSPY

Alpha

35.56%

0.00%

Beta

0.68x

1.00x

Sharpe

1.17

0.73

Sortino

1.76

1.07

Omega

1.21

1.13

Calmar

2.83

1.50

Martin

6.28

4.19

Comparisons

More NOV comparisons

NOV vs XLE
NOV vs SLB
NOV vs HAL
NOV vs BKR
NOV vs FTI

More SPY comparisons

SPY vs SPYI
SPY vs QQQ
SPY vs VTI
SPY vs ACN
SPY vs ADP
SPY vs AMZN

NOV vs SPY: returns, Sharpe ratio and drawdown

NOV vs SPY

More NOV comparisons

More SPY comparisons