SPY vs XE: Returns, Risk & Full Comparison | Redstone

SPY vs XE: Returns, Risk & Full Comparison | Redstone

Performance

SPY+13.70%XE-64.52%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
SPY	-1.11%	+11.72%	+13.70%	+10.77%	-9.13%	0.73
XE	-9.52%	—	—	—	—	—

Current Drawdown

SPY-2.03%XE-71.21%

Rolling Volatility

SPY+0.63%XE+3.86%

METRICS

Correlation Matrix

	SPY	XE
SPY	1.00	0.42
XE	0.42	1.00

Metrics

Risk Indicators

SPYXE

Alpha

0.00%

—

Beta

1.00x

—

Sharpe

0.73

—

Sortino

1.07

—

Omega

1.13

—

Calmar

1.50

—

Martin

4.19

—

Comparisons

More SPY comparisons

More XE comparisons