SNA vs SPY: returns, Sharpe ratio and drawdown
Performance
SNA+8.16%SPY+15.31%
Summary
SNA vs SPY
Over the past year, SPY returned +15.31% against +8.16% for SNA. Over five years, SPY averaged +11.69% a year, compared with +10.40% for SNA. SPY had the higher Sharpe ratio over the past year (0.83 vs 0.28), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -14.41% for SNA.
Current Drawdown
SNA-14.41%SPY-0.66%
Rolling Volatility
SNA+0.73%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SNASPY
Alpha
SNA
-0.47%
SPY
0.00%
Beta
SNA
0.54x
SPY
1.00x
Sharpe
SNA
0.28
SPY
0.83
Sortino
SNA
0.40
SPY
1.19
Omega
SNA
1.05
SPY
1.15
Calmar
SNA
0.57
SPY
1.68
Martin
SNA
1.07
SPY
4.84
Comparisons