RWM vs SPXS: returns, Sharpe ratio and drawdown
Performance
RWM-9.52%SPXS-33.24%
Summary
RWM vs SPXS
Over the past year, RWM returned -9.52% against -33.24% for SPXS. Over five years, RWM averaged -6.48% a year, compared with -33.46% for SPXS. RWM had the higher Sharpe ratio over the past year (-0.71 vs -1.00), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -25.98% for RWM and -47.48% for SPXS.
Current Drawdown
RWM-16.65%SPXS-43.96%
Rolling Volatility
RWM+0.83%SPXS+1.91%
METRICS
Correlation Matrix
Metrics
Risk Indicators
RWMSPXS
Alpha
RWM
-2.06%
SPXS
-10.38%
Beta
RWM
-1.17x
SPXS
-2.99x
Sharpe
RWM
-0.71
SPXS
-1.00
Sortino
RWM
-0.97
SPXS
-1.37
Omega
RWM
0.89
SPXS
0.85
Calmar
RWM
-0.37
SPXS
-0.70
Martin
RWM
-0.76
SPXS
-1.25
Comparisons