DIS vs FWONA: returns, Sharpe ratio and drawdown
Performance
DIS-1.22%FWONA-7.95%
Summary
DIS vs FWONA
Over the past year, DIS returned -1.22% against -7.95% for FWONA. DIS had the higher Sharpe ratio over the past year (-0.08 vs -0.41), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.49% for FWONA and -20.77% for DIS.
Current Drawdown
DIS-5.20%FWONA-15.28%
Rolling Volatility
DIS+1.31%FWONA+1.58%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DISFWONA
Alpha
DIS
-7.88%
FWONA
-12.40%
Beta
DIS
0.62x
FWONA
0.26x
Sharpe
DIS
-0.08
FWONA
-0.41
Sortino
DIS
-0.11
FWONA
-0.61
Omega
DIS
0.99
FWONA
0.94
Calmar
DIS
-0.06
FWONA
-0.39
Martin
DIS
-0.19
FWONA
-0.90
Comparisons