GXO vs UPS: returns, Sharpe ratio and drawdown
Performance
GXO-13.95%UPS+12.16%
Summary
GXO vs UPS
Over the past year, UPS returned +12.16% against -13.95% for GXO. Over five years, GXO averaged -11.95% a year, compared with -14.60% for UPS. UPS had the higher Sharpe ratio over the past year (0.39 vs -0.29), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -23.29% for UPS and -32.66% for GXO.
Current Drawdown
GXO-28.07%UPS-18.77%
Rolling Volatility
GXO+1.39%UPS+1.61%
METRICS
Correlation Matrix
Metrics
Risk Indicators
GXOUPS
Alpha
GXO
-25.63%
UPS
4.76%
Beta
GXO
1.51x
UPS
0.76x
Sharpe
GXO
-0.29
UPS
0.39
Sortino
GXO
-0.38
UPS
0.52
Omega
GXO
0.95
UPS
1.07
Calmar
GXO
-0.43
UPS
0.52
Martin
GXO
-0.59
UPS
0.98
Comparisons