ING vs MUFG: returns, Sharpe ratio and drawdown
Performance
ING+39.38%MUFG+41.80%
Summary
ING vs MUFG
Over the past year, MUFG returned +41.80% against +39.38% for ING. Over five years, MUFG averaged +32.00% a year, compared with +17.32% for ING. MUFG had the higher Sharpe ratio over the past year (1.31 vs 1.19), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.28% for MUFG and -19.86% for ING.
Current Drawdown
ING-10.25%MUFG-9.32%
Rolling Volatility
ING+1.29%MUFG+1.41%
METRICS
Correlation Matrix
Metrics
Risk Indicators
INGMUFG
Alpha
ING
20.52%
MUFG
25.74%
Beta
ING
1.33x
MUFG
0.92x
Sharpe
ING
1.19
MUFG
1.31
Sortino
ING
1.88
MUFG
1.94
Omega
ING
1.22
MUFG
1.23
Calmar
ING
1.98
MUFG
2.42
Martin
ING
5.21
MUFG
5.55
Comparisons