FWONK vs LYV: returns, Sharpe ratio and drawdown
Performance
FWONK-7.36%LYV+8.76%
Summary
FWONK vs LYV
Over the past year, LYV returned +8.76% against -7.36% for FWONK. LYV had the higher Sharpe ratio over the past year (0.28 vs -0.37), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.12% for LYV and -21.12% for FWONK.
Current Drawdown
FWONK-14.86%LYV-9.52%
Rolling Volatility
FWONK+1.44%LYV+0.99%
METRICS
Correlation Matrix
Metrics
Risk Indicators
FWONKLYV
Alpha
FWONK
-11.53%
LYV
2.27%
Beta
FWONK
0.26x
LYV
0.70x
Sharpe
FWONK
-0.37
LYV
0.28
Sortino
FWONK
-0.54
LYV
0.41
Omega
FWONK
0.94
LYV
1.05
Calmar
FWONK
-0.35
LYV
0.44
Martin
FWONK
-0.79
LYV
1.18
Comparisons