Performance

FERG-4.30%WAB+46.25%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
FERG	+1.25%	+2.93%	-4.30%	+8.96%	-19.97%	-0.15
WAB	-0.33%	+32.62%	+46.25%	+26.08%	-10.85%	1.44

Summary

FERG vs WAB

Over the past year, WAB returned +46.25% against -4.30% for FERG. Over five years, WAB averaged +26.08% a year, compared with +8.96% for FERG. WAB had the higher Sharpe ratio over the past year (1.44 vs -0.15), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -10.85% for WAB and -19.97% for FERG.

Current Drawdown

FERG-13.48%WAB-6.20%

Rolling Volatility

FERG+1.35%WAB+1.14%

METRICS

Correlation Matrix

	FERG	WAB
FERG	1.00	0.57
WAB	0.57	1.00

Metrics

Risk Indicators

FERGWAB

Alpha

-15.33%

28.38%

Beta

1.16x

0.96x

Sharpe

-0.15

1.44

Sortino

-0.21

2.35

Omega

0.98

1.28

Calmar

-0.22

4.26

Martin

-0.40

8.30

Comparisons

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FERG vs AIT
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FERG vs WAB: returns, Sharpe ratio and drawdown

FERG vs WAB

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