Performance

RVTY+66.00%TMO+21.94%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
RVTY	-0.94%	+55.03%	+66.00%	+7.49%	-30.14%	1.39
TMO	-1.52%	+10.04%	+21.94%	+2.29%	-31.45%	0.68

Summary

RVTY vs TMO

Over the past year, RVTY returned +66.00% against +21.94% for TMO. Over five years, RVTY averaged +7.49% a year, compared with +2.29% for TMO. RVTY had the higher Sharpe ratio over the past year (1.39 vs 0.68), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -30.14% for RVTY and -31.45% for TMO.

Current Drawdown

RVTY-3.30%TMO-4.07%

Rolling Volatility

RVTY+2.90%TMO+1.77%

METRICS

Correlation Matrix

	RVTY	TMO
RVTY	1.00	0.70
TMO	0.70	1.00

Metrics

Risk Indicators

RVTYTMO

Alpha

41.91%

13.80%

Beta

1.16x

0.56x

Sharpe

1.39

0.68

Sortino

2.22

1.02

Omega

1.27

1.13

Calmar

2.19

0.70

Martin

4.12

1.23

Comparisons

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RVTY vs XLV
RVTY vs SPY
RVTY vs A
RVTY vs CRL
RVTY vs WAT

More TMO comparisons

TMO vs XLV
TMO vs SPY
TMO vs A
TMO vs DHR
TMO vs IQV

RVTY vs TMO: returns, Sharpe ratio and drawdown

RVTY vs TMO

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