RING vs SIL: returns, Sharpe ratio and drawdown
Performance
RING+11.66%SIL+9.42%
Summary
RING vs SIL
Over the past year, RING returned +11.66% against +9.42% for SIL. Over five years, RING averaged +24.30% a year, compared with +16.38% for SIL. RING had the higher Sharpe ratio over the past year (0.39 vs 0.36), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -39.08% for RING and -39.50% for SIL.
Current Drawdown
RING-22.77%SIL-30.10%
Rolling Volatility
RING+2.59%SIL+2.55%
METRICS
Correlation Matrix
Metrics
Risk Indicators
RINGSIL
Alpha
RING
2.01%
SIL
-0.77%
Beta
RING
1.92x
SIL
2.24x
Sharpe
RING
0.39
SIL
0.36
Sortino
RING
0.53
SIL
0.50
Omega
RING
1.07
SIL
1.06
Calmar
RING
0.30
SIL
0.24
Martin
RING
1.01
SIL
0.94
Comparisons