SPY vs VOYA: returns, Sharpe ratio and drawdown
Performance
SPY+13.70%VOYA+27.32%
Summary
SPY vs VOYA
Over the past year, VOYA returned +27.32% against +13.70% for SPY. Over five years, SPY averaged +10.77% a year, compared with +6.19% for VOYA. VOYA had the higher Sharpe ratio over the past year (0.91 vs 0.73), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -17.09% for VOYA.
Current Drawdown
SPY-2.03%VOYA-10.35%
Rolling Volatility
SPY+0.63%VOYA+1.17%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SPYVOYA
Alpha
SPY
0.00%
VOYA
17.07%
Beta
SPY
1.00x
VOYA
0.66x
Sharpe
SPY
0.73
VOYA
0.91
Sortino
SPY
1.07
VOYA
1.28
Omega
SPY
1.13
VOYA
1.16
Calmar
SPY
1.50
VOYA
1.60
Martin
SPY
4.19
VOYA
3.66
Comparisons