SPY vs STT: returns, Sharpe ratio and drawdown
Performance
SPY+15.31%STT+49.36%
Summary
SPY vs STT
Over the past year, STT returned +49.36% against +15.31% for SPY. Over five years, STT averaged +13.60% a year, compared with +11.69% for SPY. STT had the higher Sharpe ratio over the past year (1.57 vs 0.83), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -11.79% for STT.
Current Drawdown
SPY-0.66%STT-9.87%
Rolling Volatility
SPY+0.63%STT+1.02%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SPYSTT
Alpha
SPY
0.00%
STT
27.72%
Beta
SPY
1.00x
STT
1.07x
Sharpe
SPY
0.83
STT
1.57
Sortino
SPY
1.19
STT
2.26
Omega
SPY
1.15
STT
1.29
Calmar
SPY
1.68
STT
4.19
Martin
SPY
4.84
STT
9.00
Comparisons