SBUX vs SPY: returns, Sharpe ratio and drawdown
Performance
SBUX+16.83%SPY+15.31%
Summary
SBUX vs SPY
Over the past year, SBUX returned +16.83% against +15.31% for SPY. Over five years, SPY averaged +11.69% a year, compared with -3.52% for SBUX. SPY had the higher Sharpe ratio over the past year (0.83 vs 0.55), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -14.51% for SBUX.
Current Drawdown
SBUX-14.13%SPY-0.66%
Rolling Volatility
SBUX+1.09%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SBUXSPY
Alpha
SBUX
8.58%
SPY
0.00%
Beta
SBUX
0.59x
SPY
1.00x
Sharpe
SBUX
0.55
SPY
0.83
Sortino
SBUX
0.86
SPY
1.19
Omega
SBUX
1.09
SPY
1.15
Calmar
SBUX
1.16
SPY
1.68
Martin
SBUX
2.75
SPY
4.84
Comparisons