Performance

SLM-16.37%SYF+1.97%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
SLM	-1.85%	-20.43%	-16.37%	+3.54%	-39.25%	-0.38
SYF	-0.49%	-12.96%	+1.97%	+9.73%	-27.91%	0.08

Summary

SLM vs SYF

Over the past year, SYF returned +1.97% against -16.37% for SLM. Over five years, SYF averaged +9.73% a year, compared with +3.54% for SLM. SYF had the higher Sharpe ratio over the past year (0.08 vs -0.38), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -27.91% for SYF and -39.25% for SLM.

Current Drawdown

SLM-29.30%SYF-16.72%

Rolling Volatility

SLM+1.52%SYF+1.62%

METRICS

Correlation Matrix

	SLM	SYF
SLM	1.00	0.56
SYF	0.56	1.00

Metrics

Risk Indicators

SLMSYF

Alpha

-24.08%

-8.62%

Beta

1.00x

1.19x

Sharpe

-0.38

0.08

Sortino

-0.47

0.10

Omega

0.93

1.01

Calmar

-0.42

0.07

Martin

-0.68

0.16

Comparisons

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SLM vs XLF
SLM vs SPY
SLM vs OMF
SLM vs ALLY
SLM vs AXP

More SYF comparisons

SYF vs XLF
SYF vs SPY
SYF vs COF
SYF vs AXP
SYF vs OMF
SYF vs ALLY

SLM vs SYF: returns, Sharpe ratio and drawdown

SLM vs SYF

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