CRM vs FTNT: returns, Sharpe ratio and drawdown
Performance
CRM-7.15%FTNT+119.40%
Summary
CRM vs FTNT
Over the past year, FTNT returned +119.40% against -7.15% for CRM. Over five years, FTNT averaged +24.64% a year, compared with -4.84% for CRM. FTNT had the higher Sharpe ratio over the past year (1.97 vs -0.02), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -14.34% for FTNT and -43.61% for CRM.
Current Drawdown
CRM-14.43%FTNT-1.13%
Rolling Volatility
CRM+2.03%FTNT+2.44%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CRMFTNT
Alpha
CRM
-5.90%
FTNT
73.81%
Beta
CRM
0.46x
FTNT
0.94x
Sharpe
CRM
-0.02
FTNT
1.97
Sortino
CRM
-0.03
FTNT
3.50
Omega
CRM
1.00
FTNT
1.43
Calmar
CRM
-0.16
FTNT
8.33
Martin
CRM
-0.04
FTNT
13.48
Comparisons