MAT vs TJX: returns, Sharpe ratio and drawdown
Performance
MAT-6.37%TJX+2.79%
Summary
MAT vs TJX
Over the past year, TJX returned +2.79% against -6.37% for MAT. Over five years, TJX averaged +17.73% a year, compared with -4.67% for MAT. TJX had the higher Sharpe ratio over the past year (0.03 vs -0.03), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -27.06% for TJX and -42.87% for MAT.
Current Drawdown
MAT-22.38%TJX-12.52%
Rolling Volatility
MAT+4.35%TJX+1.15%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MATTJX
Alpha
MAT
-6.77%
TJX
-0.63%
Beta
MAT
0.59x
TJX
0.13x
Sharpe
MAT
-0.03
TJX
0.03
Sortino
MAT
-0.04
TJX
0.04
Omega
MAT
0.99
TJX
1.00
Calmar
MAT
-0.15
TJX
0.10
Martin
MAT
-0.05
TJX
0.06
Comparisons