SITM vs SMTC: returns, Sharpe ratio and drawdown
Performance
SITM+62.01%SMTC+99.49%
Summary
SITM vs SMTC
Over the past year, SMTC returned +99.49% against +62.01% for SITM. Over five years, SITM averaged +12.34% a year, compared with +10.04% for SMTC. SMTC had the higher Sharpe ratio over the past year (1.23 vs 0.93), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -40.74% for SMTC and -48.73% for SITM.
Current Drawdown
SITM-47.63%SMTC-30.66%
Rolling Volatility
SITM+4.17%SMTC+4.48%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SITMSMTC
Alpha
SITM
53.71%
SMTC
66.88%
Beta
SITM
2.89x
SMTC
3.13x
Sharpe
SITM
0.93
SMTC
1.23
Sortino
SITM
1.53
SMTC
1.82
Omega
SITM
1.18
SMTC
1.22
Calmar
SITM
1.27
SMTC
2.44
Martin
SITM
3.70
SMTC
7.04
Comparisons