NWS vs SPOT: returns, Sharpe ratio and drawdown
Performance
NWS+9.82%SPOT-21.47%
Summary
NWS vs SPOT
Over the past year, NWS returned +9.82% against -21.48% for SPOT. Over five years, SPOT averaged +12.97% a year, compared with +7.88% for NWS. NWS had the higher Sharpe ratio over the past year (0.32 vs -0.42), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.71% for NWS and -40.11% for SPOT.
Current Drawdown
NWS-6.91%SPOT-23.03%
Rolling Volatility
NWS+1.40%SPOT+2.11%
METRICS
Correlation Matrix
Metrics
Risk Indicators
NWSSPOT
Alpha
NWS
6.05%
SPOT
-22.07%
Beta
NWS
0.27x
SPOT
0.35x
Sharpe
NWS
0.32
SPOT
-0.42
Sortino
NWS
0.45
SPOT
-0.60
Omega
NWS
1.06
SPOT
0.93
Calmar
NWS
0.55
SPOT
-0.54
Martin
NWS
1.16
SPOT
-0.73
Comparisons