SDIV vs SPYI: returns, Sharpe ratio and drawdown
Performance
SDIV+4.62%SPYI+12.16%
Summary
SDIV vs SPYI
Over the past year, SPYI returned +12.16% against +4.62% for SDIV. SPYI had the higher Sharpe ratio over the past year (0.71 vs 0.07), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.72% for SPYI and -9.59% for SDIV. Dividends over the past year came to 12.06% of SPYI's price, against 9.80% for SDIV.
Current Drawdown
SDIV-9.59%SPYI-2.19%
Rolling Volatility
SDIV+1.33%SPYI+0.60%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SDIVSPYI
Alpha
SDIV
-3.12%
SPYI
0.93%
Beta
SDIV
0.50x
SPYI
0.83x
Sharpe
SDIV
0.07
SPYI
0.71
Sortino
SDIV
0.09
SPYI
1.01
Omega
SDIV
1.01
SPYI
1.13
Calmar
SDIV
0.48
SPYI
1.58
Martin
SDIV
0.25
SPYI
4.66
Comparisons