DELL vs HPE: returns, Sharpe ratio and drawdown
Performance
DELL+289.23%HPE+201.07%
Summary
DELL vs HPE
Over the past year, DELL returned +289.23% against +201.07% for HPE. Over five years, DELL averaged +60.96% a year, compared with +37.25% for HPE. HPE had the higher Sharpe ratio over the past year (2.16 vs 2.14), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -26.57% for HPE and -32.64% for DELL.
Current Drawdown
DELL-0.40%HPE+0.00%
Rolling Volatility
DELL+3.90%HPE+4.40%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DELLHPE
Alpha
DELL
128.11%
HPE
94.98%
Beta
DELL
2.23x
HPE
2.01x
Sharpe
DELL
2.14
HPE
2.16
Sortino
DELL
4.17
HPE
3.69
Omega
DELL
1.49
HPE
1.47
Calmar
DELL
8.86
HPE
7.57
Martin
DELL
10.66
HPE
11.54
Comparisons