RBRK vs SPY: returns, Sharpe ratio and drawdown
Performance
RBRK+42.63%SPY+13.70%
Summary
RBRK vs SPY
Over the past year, RBRK returned +42.63% against +13.70% for SPY. RBRK had the higher Sharpe ratio over the past year (0.80 vs 0.73), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -52.02% for RBRK.
Current Drawdown
RBRK-10.64%SPY-2.03%
Rolling Volatility
RBRK+3.09%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
RBRKSPY
Alpha
RBRK
37.24%
SPY
0.00%
Beta
RBRK
1.66x
SPY
1.00x
Sharpe
RBRK
0.80
SPY
0.73
Sortino
RBRK
1.28
SPY
1.07
Omega
RBRK
1.15
SPY
1.13
Calmar
RBRK
0.82
SPY
1.50
Martin
RBRK
2.01
SPY
4.19
Comparisons