EWBC vs ZION: returns, Sharpe ratio and drawdown
Performance
EWBC+29.05%ZION+21.91%
Summary
EWBC vs ZION
Over the past year, EWBC returned +29.05% against +21.91% for ZION. Over five years, EWBC averaged +9.87% a year, compared with +0.12% for ZION. EWBC had the higher Sharpe ratio over the past year (1.06 vs 0.75), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.71% for EWBC and -18.67% for ZION.
Current Drawdown
EWBC-7.12%ZION-13.56%
Rolling Volatility
EWBC+0.91%ZION+1.02%
METRICS
Correlation Matrix
Metrics
Risk Indicators
EWBCZION
Alpha
EWBC
17.16%
ZION
11.80%
Beta
EWBC
0.72x
ZION
0.74x
Sharpe
EWBC
1.06
ZION
0.75
Sortino
EWBC
1.55
ZION
1.03
Omega
EWBC
1.19
ZION
1.13
Calmar
EWBC
1.85
ZION
1.17
Martin
EWBC
4.27
ZION
2.55
Comparisons