ETSY vs LULU: returns, Sharpe ratio and drawdown
Performance
ETSY+19.34%LULU-43.69%
Summary
ETSY vs LULU
Over the past year, ETSY returned +19.34% against -43.69% for LULU. Over five years, ETSY averaged -19.54% a year, compared with -27.08% for LULU. ETSY had the higher Sharpe ratio over the past year (0.52 vs -1.15), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -41.70% for ETSY and -57.44% for LULU.
Current Drawdown
ETSY-4.53%LULU-55.02%
Rolling Volatility
ETSY+3.07%LULU+1.96%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ETSYLULU
Alpha
ETSY
16.24%
LULU
-63.61%
Beta
ETSY
1.06x
LULU
1.24x
Sharpe
ETSY
0.52
LULU
-1.15
Sortino
ETSY
0.73
LULU
-1.45
Omega
ETSY
1.09
LULU
0.82
Calmar
ETSY
0.46
LULU
-0.76
Martin
ETSY
1.26
LULU
-1.50
Comparisons