FIX vs MWH: Returns, Risk & Full Comparison | Redstone

FIX vs MWH: Returns, Risk & Full Comparison | Redstone

Performance

FIX+71.98%MWH-21.88%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
FIX	-2.85%	+43.39%	+71.98%	+74.16%	-30.36%	1.16
MWH	+0.08%	—	—	—	—	—

Current Drawdown

FIX-30.36%MWH-48.77%

Rolling Volatility

FIX+2.82%MWH+2.75%

METRICS

Correlation Matrix

	FIX	MWH
FIX	1.00	0.63
MWH	0.63	1.00

Metrics

Risk Indicators

FIXMWH

Alpha

43.33%

—

Beta

2.54x

—

Sharpe

1.16

—

Sortino

1.75

—

Omega

1.22

—

Calmar

2.37

—

Martin

5.73

—

Comparisons

More FIX comparisons

More MWH comparisons