HEI.A vs UHAL: returns, Sharpe ratio and drawdown
Performance
HEI.A-4.93%UHAL+2.46%
Summary
HEI.A vs UHAL
Over the past year, UHAL returned +2.46% against -4.93% for HEI.A. Over five years, HEI.A averaged +13.24% a year, compared with -5.03% for UHAL. UHAL had the higher Sharpe ratio over the past year (0.11 vs -0.18), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -27.11% for HEI.A and -28.54% for UHAL.
Current Drawdown
HEI.A-15.60%UHAL-24.25%
Rolling Volatility
HEI.A+1.31%UHAL+1.29%
METRICS
Correlation Matrix
Metrics
Risk Indicators
HEI.AUHAL
Alpha
HEI.A
-14.84%
UHAL
-4.09%
Beta
HEI.A
1.03x
UHAL
0.84x
Sharpe
HEI.A
-0.18
UHAL
0.11
Sortino
HEI.A
-0.27
UHAL
0.16
Omega
HEI.A
0.97
UHAL
1.02
Calmar
HEI.A
-0.18
UHAL
0.09
Martin
HEI.A
-0.40
UHAL
0.31
Comparisons