BOKF vs WTFC: returns, Sharpe ratio and drawdown
Performance
BOKF+13.53%WTFC+13.85%
Summary
BOKF vs WTFC
Over the past year, WTFC returned +13.85% against +13.53% for BOKF. Over five years, WTFC averaged +10.31% a year, compared with +4.32% for BOKF. BOKF had the higher Sharpe ratio over the past year (0.51 vs 0.49), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.75% for BOKF and -19.30% for WTFC.
Current Drawdown
BOKF-14.54%WTFC-13.67%
Rolling Volatility
BOKF+0.99%WTFC+1.02%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BOKFWTFC
Alpha
BOKF
5.50%
WTFC
4.66%
Beta
BOKF
0.53x
WTFC
0.72x
Sharpe
BOKF
0.51
WTFC
0.49
Sortino
BOKF
0.74
WTFC
0.71
Omega
BOKF
1.09
WTFC
1.08
Calmar
BOKF
0.86
WTFC
0.72
Martin
BOKF
1.87
WTFC
1.43
Comparisons