NWS vs SIRI: returns, Sharpe ratio and drawdown
Performance
NWS+9.82%SIRI+24.63%
Summary
NWS vs SIRI
Over the past year, SIRI returned +24.63% against +9.82% for NWS. Over five years, NWS averaged +7.88% a year, compared with -15.12% for SIRI. SIRI had the higher Sharpe ratio over the past year (0.70 vs 0.32), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.71% for NWS and -21.33% for SIRI.
Current Drawdown
NWS-6.91%SIRI-17.24%
Rolling Volatility
NWS+1.40%SIRI+1.43%
METRICS
Correlation Matrix
Metrics
Risk Indicators
NWSSIRI
Alpha
NWS
6.05%
SIRI
20.80%
Beta
NWS
0.27x
SIRI
0.27x
Sharpe
NWS
0.32
SIRI
0.70
Sortino
NWS
0.45
SIRI
1.13
Omega
NWS
1.06
SIRI
1.13
Calmar
NWS
0.55
SIRI
1.16
Martin
NWS
1.16
SIRI
2.54
Comparisons