CAR vs UHAL.B: returns, Sharpe ratio and drawdown
Performance
CAR-31.04%UHAL.B+0.12%
Summary
CAR vs UHAL.B
Over the past year, UHAL.B returned +0.12% against -31.04% for CAR. CAR had the higher Sharpe ratio over the past year (0.16 vs 0.02), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -25.89% for UHAL.B and -85.60% for CAR.
Current Drawdown
CAR-85.60%UHAL.B-23.04%
Rolling Volatility
CAR+3.32%UHAL.B+1.32%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CARUHAL.B
Alpha
CAR
8.23%
UHAL.B
-6.46%
Beta
CAR
0.82x
UHAL.B
0.78x
Sharpe
CAR
0.16
UHAL.B
0.02
Sortino
CAR
0.21
UHAL.B
0.03
Omega
CAR
1.04
UHAL.B
1.00
Calmar
CAR
-0.36
UHAL.B
0.00
Martin
CAR
0.28
UHAL.B
0.07
Comparisons