SE vs SPY: returns, Sharpe ratio and drawdown
Performance
SE-43.41%SPY+13.70%
Summary
SE vs SPY
Over the past year, SPY returned +13.70% against -43.41% for SE. Over five years, SPY averaged +10.77% a year, compared with -23.00% for SE. SPY had the higher Sharpe ratio over the past year (0.73 vs -0.99), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -52.83% for SE.
Current Drawdown
SE-43.41%SPY-2.03%
Rolling Volatility
SE+1.56%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SESPY
Alpha
SE
-61.58%
SPY
0.00%
Beta
SE
1.30x
SPY
1.00x
Sharpe
SE
-0.99
SPY
0.73
Sortino
SE
-1.38
SPY
1.07
Omega
SE
0.84
SPY
1.13
Calmar
SE
-0.82
SPY
1.50
Martin
SE
-1.36
SPY
4.19
Comparisons