BCS vs UBS: returns, Sharpe ratio and drawdown
Performance
BCS+16.16%UBS+24.30%
Summary
BCS vs UBS
Over the past year, UBS returned +24.30% against +16.16% for BCS. Over five years, UBS averaged +21.46% a year, compared with +15.40% for BCS. UBS had the higher Sharpe ratio over the past year (0.79 vs 0.50), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -26.07% for UBS and -27.07% for BCS.
Current Drawdown
BCS-20.20%UBS-14.43%
Rolling Volatility
BCS+1.32%UBS+1.60%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BCSUBS
Alpha
BCS
0.66%
UBS
9.23%
Beta
BCS
1.59x
UBS
1.27x
Sharpe
BCS
0.50
UBS
0.79
Sortino
BCS
0.73
UBS
1.16
Omega
BCS
1.09
UBS
1.14
Calmar
BCS
0.60
UBS
0.93
Martin
BCS
1.39
UBS
2.09
Comparisons