Performance

GFL-3.71%WM+5.32%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
GFL	+0.69%	+2.26%	-3.71%	+1.29%	-27.89%	-0.14
WM	+1.19%	+3.87%	+5.32%	+7.25%	-18.10%	0.14

Summary

GFL vs WM

Over the past year, WM returned +5.32% against -3.71% for GFL. Over five years, WM averaged +7.25% a year, compared with +1.29% for GFL. WM had the higher Sharpe ratio over the past year (0.14 vs -0.14), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.10% for WM and -27.89% for GFL.

Current Drawdown

GFL-5.72%WM-7.97%

Rolling Volatility

GFL+1.52%WM+1.24%

METRICS

Correlation Matrix

	GFL	WM
GFL	1.00	0.42
WM	0.42	1.00

Metrics

Risk Indicators

GFLWM

Alpha

-6.82%

6.54%

Beta

0.30x

-0.39x

Sharpe

-0.14

0.14

Sortino

-0.20

0.20

Omega

0.98

1.02

Calmar

-0.13

0.29

Martin

-0.32

0.35

Comparisons

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GFL vs SPY
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GFL vs CLH
GFL vs TTEK

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WM vs VOO
WM vs RSG
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WM vs CTAS
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GFL vs WM: returns, Sharpe ratio and drawdown

GFL vs WM

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