AAPL vs SWKS: returns, Sharpe ratio and drawdown
Performance
AAPL+34.00%SWKS+9.66%
Summary
AAPL vs SWKS
Over the past year, AAPL returned +34.00% against +9.66% for SWKS. Over five years, AAPL averaged +18.69% a year, compared with -12.87% for SWKS. AAPL had the higher Sharpe ratio over the past year (1.13 vs 0.35), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -13.82% for AAPL and -34.59% for SWKS.
Current Drawdown
AAPL-0.19%SWKS-11.70%
Rolling Volatility
AAPL+1.23%SWKS+5.11%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AAPLSWKS
Alpha
AAPL
20.92%
SWKS
2.42%
Beta
AAPL
0.68x
SWKS
1.45x
Sharpe
AAPL
1.13
SWKS
0.35
Sortino
AAPL
1.64
SWKS
0.52
Omega
AAPL
1.22
SWKS
1.06
Calmar
AAPL
2.46
SWKS
0.28
Martin
AAPL
4.42
SWKS
0.87
Comparisons