OEF vs SPMO: returns, Sharpe ratio and drawdown
Performance
OEF+12.95%SPMO+16.21%
Summary
OEF vs SPMO
Over the past year, SPMO returned +16.21% against +12.95% for OEF. Over five years, SPMO averaged +16.90% a year, compared with +12.46% for OEF. OEF had the higher Sharpe ratio over the past year (0.64 vs 0.55), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -11.53% for OEF and -15.64% for SPMO.
Current Drawdown
OEF-2.38%SPMO-12.85%
Rolling Volatility
OEF+0.69%SPMO+1.07%
METRICS
Correlation Matrix
Metrics
Risk Indicators
OEFSPMO
Alpha
OEF
-1.00%
SPMO
-0.39%
Beta
OEF
1.05x
SPMO
1.53x
Sharpe
OEF
0.64
SPMO
0.55
Sortino
OEF
0.94
SPMO
0.80
Omega
OEF
1.11
SPMO
1.10
Calmar
OEF
1.12
SPMO
1.04
Martin
OEF
2.82
SPMO
2.42
Comparisons