Performance

BBWI-21.88%LOW-18.53%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
BBWI	-1.47%	-2.89%	-21.88%	-21.98%	-45.10%	-0.18
LOW	+0.85%	-20.05%	-18.53%	-3.35%	-37.54%	-0.77

Summary

BBWI vs LOW

Over the past year, LOW returned -18.53% against -21.88% for BBWI. Over five years, LOW averaged -3.35% a year, compared with -21.98% for BBWI. BBWI had the higher Sharpe ratio over the past year (-0.18 vs -0.77), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -37.54% for LOW and -45.10% for BBWI.

Current Drawdown

BBWI-25.55%LOW-31.32%

Rolling Volatility

BBWI+3.20%LOW+1.78%

METRICS

Correlation Matrix

	BBWI	LOW
BBWI	1.00	0.37
LOW	0.37	1.00

Metrics

Risk Indicators

BBWILOW

Alpha

-23.85%

-27.32%

Beta

1.41x

0.64x

Sharpe

-0.18

-0.77

Sortino

-0.24

-1.10

Omega

0.97

0.88

Calmar

-0.49

Martin

-0.40

-1.07

Comparisons

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BBWI vs XLY
BBWI vs SPY
BBWI vs BC
BBWI vs WSM
BBWI vs HD

More LOW comparisons

LOW vs HD
LOW vs XLY
LOW vs SPY
LOW vs PHM
LOW vs DHI
LOW vs TOL

BBWI vs LOW: returns, Sharpe ratio and drawdown

BBWI vs LOW

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