ADBE vs WDAY: returns, Sharpe ratio and drawdown
Performance
ADBE-30.63%WDAY-21.16%
Summary
ADBE vs WDAY
Over the past year, WDAY returned -21.16% against -30.63% for ADBE. Over five years, WDAY averaged -7.09% a year, compared with -16.99% for ADBE. WDAY had the higher Sharpe ratio over the past year (-0.26 vs -0.81), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -46.26% for ADBE and -54.21% for WDAY.
Current Drawdown
ADBE-33.02%WDAY-23.55%
Rolling Volatility
ADBE+2.30%WDAY+2.14%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ADBEWDAY
Alpha
ADBE
-37.01%
WDAY
-18.39%
Beta
ADBE
0.37x
WDAY
0.38x
Sharpe
ADBE
-0.81
WDAY
-0.26
Sortino
ADBE
-1.09
WDAY
-0.40
Omega
ADBE
0.87
WDAY
0.95
Calmar
ADBE
-0.66
WDAY
-0.39
Martin
ADBE
-1.23
WDAY
-0.41
Comparisons