CPAY vs WU: returns, Sharpe ratio and drawdown
Performance
CPAY+39.78%WU-23.83%
Summary
CPAY vs WU
Over the past year, CPAY returned +39.78% against -23.83% for WU. CPAY had the higher Sharpe ratio over the past year (0.98 vs -0.63), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.20% for CPAY and -42.61% for WU.
Current Drawdown
CPAY-5.97%WU-39.98%
Rolling Volatility
CPAY+1.25%WU+2.07%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CPAYWU
Alpha
CPAY
28.43%
WU
-29.03%
Beta
CPAY
0.82x
WU
0.49x
Sharpe
CPAY
0.98
WU
-0.63
Sortino
CPAY
1.57
WU
-0.88
Omega
CPAY
1.19
WU
0.89
Calmar
CPAY
1.97
WU
-0.56
Martin
CPAY
5.00
WU
-1.19
Comparisons