AWK vs WTRG: returns, Sharpe ratio and drawdown
Performance
AWK-7.21%WTRG-2.62%
Summary
AWK vs WTRG
Over the past year, WTRG returned -2.62% against -7.21% for AWK. Over five years, WTRG averaged -2.82% a year, compared with -5.01% for AWK. WTRG had the higher Sharpe ratio over the past year (-0.23 vs -0.44), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -13.55% for WTRG and -16.71% for AWK.
Current Drawdown
AWK-7.21%WTRG-2.79%
Rolling Volatility
AWK+1.07%WTRG+1.05%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AWKWTRG
Alpha
AWK
-5.68%
WTRG
-1.19%
Beta
AWK
-0.43x
WTRG
-0.40x
Sharpe
AWK
-0.44
WTRG
-0.23
Sortino
AWK
-0.63
WTRG
-0.34
Omega
AWK
0.93
WTRG
0.96
Calmar
AWK
-0.43
WTRG
-0.19
Martin
AWK
-0.98
WTRG
-0.68
Comparisons