BCS vs MUFG: returns, Sharpe ratio and drawdown
Performance
BCS+16.16%MUFG+41.80%
Summary
BCS vs MUFG
Over the past year, MUFG returned +41.80% against +16.16% for BCS. Over five years, MUFG averaged +32.00% a year, compared with +15.40% for BCS. MUFG 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 -17.28% for MUFG and -27.07% for BCS.
Current Drawdown
BCS-20.20%MUFG-9.32%
Rolling Volatility
BCS+1.32%MUFG+1.41%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BCSMUFG
Alpha
BCS
0.66%
MUFG
25.74%
Beta
BCS
1.59x
MUFG
0.92x
Sharpe
BCS
0.50
MUFG
1.31
Sortino
BCS
0.73
MUFG
1.94
Omega
BCS
1.09
MUFG
1.23
Calmar
BCS
0.60
MUFG
2.42
Martin
BCS
1.39
MUFG
5.55
Comparisons