COST vs WMT: returns, Sharpe ratio and drawdown
Performance
COST+1.82%WMT+9.34%
Summary
COST vs WMT
Over the past year, WMT returned +9.34% against +1.82% for COST. Over five years, WMT averaged +18.96% a year, compared with +15.97% for COST. WMT had the higher Sharpe ratio over the past year (0.30 vs -0.04), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.33% for COST and -23.52% for WMT.
Current Drawdown
COST-13.47%WMT-17.03%
Rolling Volatility
COST+1.01%WMT+1.40%
METRICS
Correlation Matrix
Metrics
Risk Indicators
COSTWMT
Alpha
COST
1.21%
WMT
9.01%
Beta
COST
-0.14x
WMT
-0.06x
Sharpe
COST
-0.04
WMT
0.30
Sortino
COST
-0.05
WMT
0.42
Omega
COST
0.99
WMT
1.05
Calmar
COST
0.10
WMT
0.40
Martin
COST
-0.08
WMT
0.72
Comparisons