SPY vs UHAL.B: returns, Sharpe ratio and drawdown
Performance
SPY+13.70%UHAL.B+0.12%
Summary
SPY vs UHAL.B
Over the past year, SPY returned +13.70% against +0.12% for UHAL.B. SPY had the higher Sharpe ratio over the past year (0.73 vs 0.02), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -25.89% for UHAL.B.
Current Drawdown
SPY-2.03%UHAL.B-23.04%
Rolling Volatility
SPY+0.63%UHAL.B+1.32%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SPYUHAL.B
Alpha
SPY
0.00%
UHAL.B
-6.46%
Beta
SPY
1.00x
UHAL.B
0.78x
Sharpe
SPY
0.73
UHAL.B
0.02
Sortino
SPY
1.07
UHAL.B
0.03
Omega
SPY
1.13
UHAL.B
1.00
Calmar
SPY
1.50
UHAL.B
0.00
Martin
SPY
4.19
UHAL.B
0.07
Comparisons