RVMD vs SMMT: returns, Sharpe ratio and drawdown
Performance
RVMD+229.49%SMMT-26.98%
Summary
RVMD vs SMMT
Over the past year, RVMD returned +229.49% against -26.98% for SMMT. Over five years, RVMD averaged +43.66% a year, compared with +23.34% for SMMT. RVMD had the higher Sharpe ratio over the past year (2.05 vs -0.15), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -24.95% for RVMD and -52.88% for SMMT.
Current Drawdown
RVMD-19.53%SMMT-44.54%
Rolling Volatility
RVMD+2.74%SMMT+3.62%
METRICS
Correlation Matrix
Metrics
Risk Indicators
RVMDSMMT
Alpha
RVMD
125.43%
SMMT
-26.26%
Beta
RVMD
1.17x
SMMT
1.67x
Sharpe
RVMD
2.05
SMMT
-0.15
Sortino
RVMD
4.57
SMMT
-0.21
Omega
RVMD
1.64
SMMT
0.97
Calmar
RVMD
9.20
SMMT
-0.51
Martin
RVMD
12.84
SMMT
-0.35
Comparisons