Performance

SHLD-8.44%ITA-0.26%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
SHLD	+1.37%	-7.45%	-8.44%	—	-25.40%	-0.41
ITA	+1.04%	-5.83%	-0.26%	+14.98%	-19.59%	-0.09

Summary

SHLD vs ITA

Over the past year, ITA returned -0.26% against -8.44% for SHLD. ITA had the higher Sharpe ratio over the past year (-0.09 vs -0.41), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -19.59% for ITA and -25.40% for SHLD.

Current Drawdown

SHLD-21.20%ITA-17.43%

Rolling Volatility

SHLD+0.94%ITA+0.94%

METRICS

Correlation Matrix

	SHLD	ITA
SHLD	1.00	0.76
ITA	0.76	1.00

Metrics

Risk Indicators

SHLDITA

Alpha

-18.03%

-11.40%

Beta

0.83x

1.00x

Sharpe

-0.41

-0.09

Sortino

-0.60

-0.13

Omega

0.94

0.99

Calmar

-0.33

-0.01

Martin

-0.75

-0.24

Comparisons

More SHLD comparisons

SHLD vs XAR
SHLD vs XLI
SHLD vs AIRR
SHLD vs PAVE
SHLD vs GRID

More ITA comparisons

ITA vs XAR
ITA vs XLI
ITA vs PAVE
ITA vs AIRR
ITA vs GRID

SHLD vs ITA: returns, Sharpe ratio and drawdown

SHLD vs ITA

More SHLD comparisons

More ITA comparisons