BCS vs HSBC: returns, Sharpe ratio and drawdown
Performance
BCS+16.16%HSBC+44.01%
Summary
BCS vs HSBC
Over the past year, HSBC returned +44.01% against +16.16% for BCS. Over five years, HSBC averaged +25.95% a year, compared with +15.40% for BCS. HSBC had the higher Sharpe ratio over the past year (1.31 vs 0.50), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.57% for HSBC and -27.07% for BCS.
Current Drawdown
BCS-20.20%HSBC-12.32%
Rolling Volatility
BCS+1.32%HSBC+1.40%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BCSHSBC
Alpha
BCS
0.66%
HSBC
24.30%
Beta
BCS
1.59x
HSBC
1.28x
Sharpe
BCS
0.50
HSBC
1.31
Sortino
BCS
0.73
HSBC
2.05
Omega
BCS
1.09
HSBC
1.25
Calmar
BCS
0.60
HSBC
2.37
Martin
BCS
1.39
HSBC
6.22
Comparisons