CHRW vs EXPD: returns, Sharpe ratio and drawdown
Performance
CHRW+9.65%EXPD+66.68%
Summary
CHRW vs EXPD
Over the past year, EXPD returned +66.68% against +9.65% for CHRW. Over five years, EXPD averaged +10.82% a year, compared with +8.38% for CHRW. EXPD had the higher Sharpe ratio over the past year (1.69 vs 0.34), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.88% for EXPD and -35.51% for CHRW.
Current Drawdown
CHRW-32.51%EXPD-0.21%
Rolling Volatility
CHRW+3.13%EXPD+1.45%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CHRWEXPD
Alpha
CHRW
9.82%
EXPD
46.64%
Beta
CHRW
0.56x
EXPD
0.50x
Sharpe
CHRW
0.34
EXPD
1.69
Sortino
CHRW
0.47
EXPD
2.53
Omega
CHRW
1.07
EXPD
1.39
Calmar
CHRW
0.27
EXPD
4.20
Martin
CHRW
1.03
EXPD
8.42
Comparisons