OLED vs SPY: returns, Sharpe ratio and drawdown
Performance
OLED-48.51%SPY+13.70%
Summary
OLED vs SPY
Over the past year, SPY returned +13.70% against -48.51% for OLED. Over five years, SPY averaged +10.77% a year, compared with -15.80% for OLED. SPY had the higher Sharpe ratio over the past year (0.73 vs -1.48), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -51.84% for OLED.
Current Drawdown
OLED-48.51%SPY-2.03%
Rolling Volatility
OLED+2.65%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
OLEDSPY
Alpha
OLED
-75.78%
SPY
0.00%
Beta
OLED
1.41x
SPY
1.00x
Sharpe
OLED
-1.48
SPY
0.73
Sortino
OLED
-1.94
SPY
1.07
Omega
OLED
0.78
SPY
1.13
Calmar
OLED
-0.94
SPY
1.50
Martin
OLED
-1.74
SPY
4.19
Comparisons