FOXA vs FOX: returns, Sharpe ratio and drawdown
Performance
FOXA+10.26%FOX+9.81%
Summary
FOXA vs FOX
Over the past year, FOXA returned +10.26% against +9.81% for FOX. Over five years, FOXA averaged +10.12% a year, compared with +9.20% for FOX. FOXA had the higher Sharpe ratio over the past year (0.33 vs 0.32), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -34.49% for FOX and -35.90% for FOXA.
Current Drawdown
FOXA-15.71%FOX-15.55%
Rolling Volatility
FOXA+1.26%FOX+1.31%
METRICS
Correlation Matrix
Metrics
Risk Indicators
FOXAFOX
Alpha
FOXA
11.40%
FOX
10.84%
Beta
FOXA
0.03x
FOX
-0.01x
Sharpe
FOXA
0.33
FOX
0.32
Sortino
FOXA
0.44
FOX
0.44
Omega
FOXA
1.06
FOX
1.06
Calmar
FOXA
0.29
FOX
0.28
Martin
FOXA
0.67
FOX
0.65
Comparisons