NTRA vs RVMD: returns, Sharpe ratio and drawdown
Performance
NTRA+108.61%RVMD+229.49%
Summary
NTRA vs RVMD
Over the past year, RVMD returned +229.49% against +108.61% for NTRA. Over five years, RVMD averaged +43.66% a year, compared with +28.19% for NTRA. RVMD had the higher Sharpe ratio over the past year (2.05 vs 1.68), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -24.95% for RVMD and -28.20% for NTRA.
Current Drawdown
NTRA-7.57%RVMD-19.53%
Rolling Volatility
NTRA+2.44%RVMD+2.74%
METRICS
Correlation Matrix
Metrics
Risk Indicators
NTRARVMD
Alpha
NTRA
70.03%
RVMD
125.43%
Beta
NTRA
1.24x
RVMD
1.17x
Sharpe
NTRA
1.68
RVMD
2.05
Sortino
NTRA
2.79
RVMD
4.57
Omega
NTRA
1.36
RVMD
1.64
Calmar
NTRA
3.85
RVMD
9.20
Martin
NTRA
6.53
RVMD
12.84
Comparisons