EBAY vs EXPE: returns, Sharpe ratio and drawdown
Performance
EBAY+24.24%EXPE+24.59%
Summary
EBAY vs EXPE
Over the past year, EXPE returned +24.59% against +24.24% for EBAY. Over five years, EXPE averaged +9.48% a year, compared with +8.40% for EBAY. EBAY had the higher Sharpe ratio over the past year (0.67 vs 0.60), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -19.88% for EBAY and -37.44% for EXPE.
Current Drawdown
EBAY-5.87%EXPE-20.35%
Rolling Volatility
EBAY+1.63%EXPE+2.28%
METRICS
Correlation Matrix
Metrics
Risk Indicators
EBAYEXPE
Alpha
EBAY
16.42%
EXPE
19.42%
Beta
EBAY
0.70x
EXPE
1.02x
Sharpe
EBAY
0.67
EXPE
0.60
Sortino
EBAY
0.88
EXPE
0.90
Omega
EBAY
1.13
EXPE
1.12
Calmar
EBAY
1.22
EXPE
0.66
Martin
EBAY
2.34
EXPE
1.82
Comparisons