PEP vs SPY: returns, Sharpe ratio and drawdown
Performance
PEP-11.31%SPY+15.31%
Summary
PEP vs SPY
Over the past year, SPY returned +15.31% against -11.31% for PEP. Over five years, SPY averaged +11.69% a year, compared with -4.18% for PEP. SPY had the higher Sharpe ratio over the past year (0.83 vs -0.71), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -27.43% for PEP.
Current Drawdown
PEP-24.72%SPY-0.66%
Rolling Volatility
PEP+1.24%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
PEPSPY
Alpha
PEP
-12.57%
SPY
0.00%
Beta
PEP
-0.18x
SPY
1.00x
Sharpe
PEP
-0.71
SPY
0.83
Sortino
PEP
-1.00
SPY
1.19
Omega
PEP
0.89
SPY
1.15
Calmar
PEP
-0.41
SPY
1.68
Martin
PEP
-1.13
SPY
4.84
Comparisons