RL vs SN: returns, Sharpe ratio and drawdown
Performance
RL+15.77%SN+100.96%
Summary
RL vs SN
Over the past year, SN returned +100.96% against +15.77% for RL. SN had the higher Sharpe ratio over the past year (1.74 vs 0.47), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -19.59% for RL and -25.74% for SN.
Current Drawdown
RL-6.94%SN-3.70%
Rolling Volatility
RL+1.63%SN+1.83%
METRICS
Correlation Matrix