BCS vs ING: returns, Sharpe ratio and drawdown
Performance
BCS+16.16%ING+39.38%
Summary
BCS vs ING
Over the past year, ING returned +39.38% against +16.16% for BCS. Over five years, ING averaged +17.32% a year, compared with +15.40% for BCS. ING had the higher Sharpe ratio over the past year (1.19 vs 0.50), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -19.86% for ING and -27.07% for BCS.
Current Drawdown
BCS-20.20%ING-10.25%
Rolling Volatility
BCS+1.32%ING+1.29%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BCSING
Alpha
BCS
0.66%
ING
20.52%
Beta
BCS
1.59x
ING
1.33x
Sharpe
BCS
0.50
ING
1.19
Sortino
BCS
0.73
ING
1.88
Omega
BCS
1.09
ING
1.22
Calmar
BCS
0.60
ING
1.98
Martin
BCS
1.39
ING
5.21
Comparisons