Performance

CPAY+39.78%WEX+19.03%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
CPAY	-1.57%	+33.02%	+39.78%	—	-20.20%	0.98
WEX	+0.57%	+22.66%	+19.03%	+4.01%	-31.40%	0.53

Summary

CPAY vs WEX

Over the past year, CPAY returned +39.78% against +19.03% for WEX. CPAY had the higher Sharpe ratio over the past year (0.98 vs 0.53), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.20% for CPAY and -31.40% for WEX.

Current Drawdown

CPAY-5.97%WEX-10.45%

Rolling Volatility

CPAY+1.25%WEX+1.95%

METRICS

Correlation Matrix

	CPAY	WEX
CPAY	1.00	0.51
WEX	0.51	1.00

Metrics

Risk Indicators

CPAYWEX

Alpha

28.43%

18.51%

Beta

0.82x

0.32x

Sharpe

0.98

0.53

Sortino

1.57

0.73

Omega

1.19

1.10

Calmar

1.97

0.61

Martin

5.00

1.71

Comparisons

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CPAY vs WEX: returns, Sharpe ratio and drawdown

CPAY vs WEX

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