QSR vs SPY: returns, Sharpe ratio and drawdown
Performance
QSR+10.40%SPY+13.70%
Summary
QSR vs SPY
Over the past year, SPY returned +13.70% against +10.40% for QSR. Over five years, SPY averaged +10.77% a year, compared with +5.76% for QSR. SPY had the higher Sharpe ratio over the past year (0.73 vs 0.35), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -14.99% for QSR.
Current Drawdown
QSR-8.40%SPY-2.03%
Rolling Volatility
QSR+1.01%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
QSRSPY
Alpha
QSR
7.72%
SPY
0.00%
Beta
QSR
0.07x
SPY
1.00x
Sharpe
QSR
0.35
SPY
0.73
Sortino
QSR
0.50
SPY
1.07
Omega
QSR
1.06
SPY
1.13
Calmar
QSR
0.69
SPY
1.50
Martin
QSR
1.20
SPY
4.19
Comparisons