NVR vs RACE: returns, Sharpe ratio and drawdown
Performance
NVR-22.93%RACE-0.20%
Summary
NVR vs RACE
Over the past year, RACE returned -0.20% against -22.93% for NVR. Over five years, RACE averaged +10.96% a year, compared with +3.90% for NVR. RACE had the higher Sharpe ratio over the past year (0.01 vs -0.99), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -25.52% for RACE and -31.40% for NVR.
Current Drawdown
NVR-27.01%RACE-8.94%
Rolling Volatility
NVR+1.53%RACE+1.37%
METRICS
Correlation Matrix
Metrics
Risk Indicators
NVRRACE
Alpha
NVR
-32.09%
RACE
-8.76%
Beta
NVR
0.54x
RACE
0.97x
Sharpe
NVR
-0.99
RACE
0.01
Sortino
NVR
-1.35
RACE
0.01
Omega
NVR
0.85
RACE
1.00
Calmar
NVR
-0.73
RACE
-0.01
Martin
NVR
-1.52
RACE
0.02
Comparisons