ADM vs MDLZ: returns, Sharpe ratio and drawdown
Performance
ADM+34.48%MDLZ-0.54%
Summary
ADM vs MDLZ
Over the past year, ADM returned +34.48% against -0.54% for MDLZ. Over five years, ADM averaged +5.23% a year, compared with +0.17% for MDLZ. ADM had the higher Sharpe ratio over the past year (1.06 vs -0.10), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.29% for ADM and -17.99% for MDLZ.
Current Drawdown
ADM-6.40%MDLZ-6.65%
Rolling Volatility
ADM+1.50%MDLZ+1.15%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ADMMDLZ
Alpha
ADM
29.39%
MDLZ
-0.09%
Beta
ADM
-0.01x
MDLZ
-0.21x
Sharpe
ADM
1.06
MDLZ
-0.10
Sortino
ADM
1.59
MDLZ
-0.15
Omega
ADM
1.19
MDLZ
0.98
Calmar
ADM
2.81
MDLZ
-0.03
Martin
ADM
5.21
MDLZ
-0.31
Comparisons