ARM vs TSM: returns, Sharpe ratio and drawdown
Performance
ARM+32.83%TSM+38.60%
Summary
ARM vs TSM
Over the past year, TSM returned +38.60% against +32.83% for ARM. TSM had the higher Sharpe ratio over the past year (0.93 vs 0.69), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -21.55% for TSM and -48.83% for ARM.
Current Drawdown
ARM-48.16%TSM-15.07%
Rolling Volatility
ARM+5.69%TSM+1.80%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ARMTSM
Alpha
ARM
22.52%
TSM
16.46%
Beta
ARM
3.49x
TSM
2.11x
Sharpe
ARM
0.69
TSM
0.93
Sortino
ARM
1.14
TSM
1.39
Omega
ARM
1.13
TSM
1.17
Calmar
ARM
0.67
TSM
1.79
Martin
ARM
1.87
TSM
4.53
Comparisons