CRWD vs SAIL: returns, Sharpe ratio and drawdown
Performance
CRWD+80.61%SAIL-17.04%
Summary
CRWD vs SAIL
Over the past year, CRWD returned +80.61% against -17.04% for SAIL. CRWD had the higher Sharpe ratio over the past year (1.27 vs -0.05), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -37.18% for CRWD and -53.95% for SAIL.
Current Drawdown
CRWD-18.46%SAIL-17.69%
Rolling Volatility
CRWD+3.27%SAIL+2.97%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CRWDSAIL
Alpha
CRWD
56.06%
SAIL
-16.32%
Beta
CRWD
1.56x
SAIL
1.43x
Sharpe
CRWD
1.27
SAIL
-0.05
Sortino
CRWD
2.06
SAIL
-0.07
Omega
CRWD
1.25
SAIL
0.99
Calmar
CRWD
2.17
SAIL
-0.32
Martin
CRWD
4.49
SAIL
-0.10
Comparisons