Performance

CSX+31.32%URI+7.11%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
CSX	+1.13%	+30.52%	+31.32%	+6.76%	-13.60%	1.18
URI	+1.23%	+24.27%	+7.11%	+24.70%	-30.35%	0.27

Summary

CSX vs URI

Over the past year, CSX returned +31.32% against +7.11% for URI. Over five years, URI averaged +24.70% a year, compared with +6.76% for CSX. CSX had the higher Sharpe ratio over the past year (1.18 vs 0.27), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -13.60% for CSX and -30.35% for URI.

Current Drawdown

CSX-11.07%URI-9.84%

Rolling Volatility

CSX+1.08%URI+2.09%

METRICS

Correlation Matrix

	CSX	URI
CSX	1.00	0.50
URI	0.50	1.00

Metrics

Risk Indicators

CSXURI

Alpha

20.65%

1.34%

Beta

0.44x

0.97x

Sharpe

1.18

0.27

Sortino

1.83

0.43

Omega

1.23

1.05

Calmar

2.30

0.23

Martin

5.13

0.79

Comparisons

More CSX comparisons

CSX vs XLI
CSX vs SPY
CSX vs UNP
CSX vs NSC
CSX vs ODFL

More URI comparisons

URI vs XLI
URI vs SPY
URI vs NSC
URI vs UNP
URI vs WAB

CSX vs URI: returns, Sharpe ratio and drawdown

CSX vs URI

More CSX comparisons

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