PB vs SPY: returns, Sharpe ratio and drawdown
Performance
PB+5.91%SPY+13.70%
Summary
PB vs SPY
Over the past year, SPY returned +13.70% against +5.91% for PB. Over five years, SPY averaged +10.77% a year, compared with -2.10% for PB. SPY had the higher Sharpe ratio over the past year (0.73 vs 0.17), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -15.70% for PB.
Current Drawdown
PB-10.84%SPY-2.03%
Rolling Volatility
PB+0.93%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
PBSPY
Alpha
PB
-0.13%
SPY
0.00%
Beta
PB
0.39x
SPY
1.00x
Sharpe
PB
0.17
SPY
0.73
Sortino
PB
0.23
SPY
1.07
Omega
PB
1.03
SPY
1.13
Calmar
PB
0.38
SPY
1.50
Martin
PB
0.48
SPY
4.19
Comparisons