ADSK vs PCOR: returns, Sharpe ratio and drawdown
Performance
ADSK-22.10%PCOR-21.28%
Summary
ADSK vs PCOR
Over the past year, PCOR returned -21.28% against -22.10% for ADSK. Over five years, ADSK averaged -5.49% a year, compared with -9.09% for PCOR. PCOR had the higher Sharpe ratio over the past year (-0.29 vs -0.56), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -40.13% for ADSK and -51.88% for PCOR.
Current Drawdown
ADSK-23.48%PCOR-28.42%
Rolling Volatility
ADSK+2.26%PCOR+2.28%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ADSKPCOR
Alpha
ADSK
-26.52%
PCOR
-22.04%
Beta
ADSK
0.48x
PCOR
0.74x
Sharpe
ADSK
-0.56
PCOR
-0.29
Sortino
ADSK
-0.77
PCOR
-0.42
Omega
ADSK
0.91
PCOR
0.95
Calmar
ADSK
-0.55
PCOR
-0.41
Martin
ADSK
-0.96
PCOR
-0.50
Comparisons