Performance

MAR+35.67%RCL-8.33%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
MAR	+1.28%	+15.21%	+35.67%	+17.73%	-18.32%	1.10
RCL	-0.32%	-0.65%	-8.33%	+26.74%	-33.83%	-0.04

Summary

MAR vs RCL

Over the past year, MAR returned +35.67% against -8.33% for RCL. Over five years, RCL averaged +26.74% a year, compared with +17.73% for MAR. MAR had the higher Sharpe ratio over the past year (1.10 vs -0.04), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.32% for MAR and -33.83% for RCL.

Current Drawdown

MAR-10.30%RCL-19.14%

Rolling Volatility

MAR+1.11%RCL+2.90%

METRICS

Correlation Matrix

	MAR	RCL
MAR	1.00	0.45
RCL	0.45	1.00

Metrics

Risk Indicators

MARRCL

Alpha

23.46%

-18.98%

Beta

0.62x

1.60x

Sharpe

1.10

-0.04

Sortino

1.75

-0.06

Omega

1.21

0.99

Calmar

1.95

-0.25

Martin

4.04

-0.10

Comparisons

More MAR comparisons

MAR vs XLY
MAR vs SPY
MAR vs HLT
MAR vs CCL
MAR vs PHM
MAR vs NVR

More RCL comparisons

RCL vs CCL
RCL vs XLY
RCL vs SPY
RCL vs NCLH
RCL vs HLT

MAR vs RCL: returns, Sharpe ratio and drawdown

MAR vs RCL

More MAR comparisons

More RCL comparisons