CTSH vs IT: returns, Sharpe ratio and drawdown
Performance
CTSH-12.53%IT-20.08%
Summary
CTSH vs IT
Over the past year, CTSH returned -12.53% against -20.08% for IT. Over five years, CTSH averaged -5.32% a year, compared with -8.91% for IT. IT had the higher Sharpe ratio over the past year (-0.20 vs -0.22), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -51.30% for IT and -55.32% for CTSH.
Current Drawdown
CTSH-30.78%IT-24.31%
Rolling Volatility
CTSH+2.83%IT+3.20%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CTSHIT
Alpha
CTSH
-11.80%
IT
-15.81%
Beta
CTSH
0.23x
IT
0.43x
Sharpe
CTSH
-0.22
IT
-0.20
Sortino
CTSH
-0.32
IT
-0.29
Omega
CTSH
0.96
IT
0.96
Calmar
CTSH
-0.23
IT
-0.39
Martin
CTSH
-0.32
IT
-0.35
Comparisons