Performance

CTSH-1.00%DLB-12.85%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
CTSH	+0.40%	-18.76%	-1.00%	-3.32%	-55.33%	0.08
DLB	-1.45%	-5.64%	-12.85%	-7.51%	-30.28%	-0.47

Summary

CTSH vs DLB

Over the past year, CTSH returned -1.00% against -12.85% for DLB. Over five years, CTSH averaged -3.32% a year, compared with -7.51% for DLB. CTSH had the higher Sharpe ratio over the past year (0.08 vs -0.47), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -30.28% for DLB and -55.33% for CTSH.

Current Drawdown

CTSH-23.84%DLB-13.84%

Rolling Volatility

CTSH+2.64%DLB+1.18%

METRICS

Correlation Matrix

	CTSH	DLB
CTSH	1.00	0.29
DLB	0.29	1.00

Metrics

Risk Indicators

CTSHDLB

Alpha

2.32%

-19.32%

Beta

0.11x

0.57x

Sharpe

0.08

-0.47

Sortino

0.12

-0.68

Omega

1.01

0.92

Calmar

-0.02

-0.42

Martin

0.11

-0.95

Comparisons

More CTSH comparisons

CTSH vs XLK
CTSH vs SPY
CTSH vs ACN
CTSH vs EPAM
CTSH vs DOX
CTSH vs IT

More DLB comparisons

DLB vs XLK
DLB vs SPY
DLB vs TRMB
DLB vs ADBE
DLB vs HPQ

CTSH vs DLB: returns, Sharpe ratio and drawdown

CTSH vs DLB

More CTSH comparisons

More DLB comparisons