Performance

FOXA+7.98%NWSA+9.49%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
FOXA	+1.39%	-13.82%	+7.98%	+8.87%	-35.90%	0.27
NWSA	+1.26%	+10.61%	+9.49%	+3.93%	-16.76%	0.31

Summary

FOXA vs NWSA

Over the past year, NWSA returned +9.49% against +7.98% for FOXA. Over five years, FOXA averaged +8.87% a year, compared with +3.93% for NWSA. NWSA had the higher Sharpe ratio over the past year (0.31 vs 0.27), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.76% for NWSA and -35.90% for FOXA.

Current Drawdown

FOXA-16.48%NWSA-7.12%

Rolling Volatility

FOXA+1.57%NWSA+1.53%

METRICS

Correlation Matrix

	FOXA	NWSA
FOXA	1.00	0.38
NWSA	0.38	1.00

Metrics

Risk Indicators

FOXANWSA

Alpha

8.53%

5.13%

Beta

0.11x

0.27x

Sharpe

0.27

0.31

Sortino

0.37

0.43

Omega

1.05

Calmar

0.22

0.57

Martin

0.57

1.31

Comparisons

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FOXA vs NWSA: returns, Sharpe ratio and drawdown

FOXA vs NWSA

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