AXP vs V: returns, Sharpe ratio and drawdown
Performance
AXP-2.56%V+12.16%
Summary
AXP vs V
Over the past year, V returned +12.16% against -2.56% for AXP. Over five years, AXP averaged +11.91% a year, compared with +10.81% for V. V had the higher Sharpe ratio over the past year (0.43 vs -0.13), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.35% for V and -24.06% for AXP.
Current Drawdown
AXP-19.93%V+0.00%
Rolling Volatility
AXP+1.22%V+1.18%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AXPV
Alpha
AXP
-17.42%
V
5.20%
Beta
AXP
0.98x
V
0.31x
Sharpe
AXP
-0.13
V
0.43
Sortino
AXP
-0.18
V
0.67
Omega
AXP
0.98
V
1.08
Calmar
AXP
-0.11
V
0.70
Martin
AXP
-0.26
V
1.22
Comparisons