RVTY vs SHC: returns, Sharpe ratio and drawdown
Performance
RVTY+60.15%SHC+7.06%
Summary
RVTY vs SHC
Over the past year, RVTY returned +60.15% against +7.06% for SHC. RVTY had the higher Sharpe ratio over the past year (1.31 vs 0.23), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -30.14% for RVTY and -32.14% for SHC.
Current Drawdown
RVTY-3.00%SHC-8.58%
Rolling Volatility
RVTY+2.01%SHC+1.28%
METRICS
Correlation Matrix
Metrics
Risk Indicators
RVTYSHC
Alpha
RVTY
39.95%
SHC
-2.70%
Beta
RVTY
1.16x
SHC
0.98x
Sharpe
RVTY
1.31
SHC
0.23
Sortino
RVTY
2.08
SHC
0.34
Omega
RVTY
1.25
SHC
1.04
Calmar
RVTY
2.00
SHC
0.22
Martin
RVTY
3.84
SHC
0.48
Comparisons