BKNG vs EXPE: returns, Sharpe ratio and drawdown
Performance
BKNG-22.97%EXPE+24.59%
Summary
BKNG vs EXPE
Over the past year, EXPE returned +24.59% against -22.97% for BKNG. Over five years, BKNG averaged +9.55% a year, compared with +9.48% for EXPE. EXPE had the higher Sharpe ratio over the past year (0.60 vs -0.63), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -29.84% for BKNG and -37.44% for EXPE.
Current Drawdown
BKNG-27.18%EXPE-20.35%
Rolling Volatility
BKNG+1.82%EXPE+2.28%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BKNGEXPE
Alpha
BKNG
-33.25%
EXPE
19.42%
Beta
BKNG
0.88x
EXPE
1.02x
Sharpe
BKNG
-0.63
EXPE
0.60
Sortino
BKNG
-0.88
EXPE
0.90
Omega
BKNG
0.90
EXPE
1.12
Calmar
BKNG
-0.77
EXPE
0.66
Martin
BKNG
-1.37
EXPE
1.82
Comparisons