MDLZ vs POST: returns, Sharpe ratio and drawdown
Performance
MDLZ+1.75%POST-26.36%
Summary
MDLZ vs POST
Over the past year, MDLZ returned +1.75% against -26.36% for POST. Over five years, POST averaged +2.57% a year, compared with +1.03% for MDLZ. MDLZ had the higher Sharpe ratio over the past year (0.00 vs -0.97), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.99% for MDLZ and -36.71% for POST.
Current Drawdown
MDLZ-1.66%POST-31.48%
Rolling Volatility
MDLZ+1.35%POST+1.41%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MDLZPOST
Alpha
MDLZ
2.40%
POST
-29.70%
Beta
MDLZ
-0.25x
POST
-0.08x
Sharpe
MDLZ
0.00
POST
-0.97
Sortino
MDLZ
0.00
POST
-1.26
Omega
MDLZ
1.00
POST
0.84
Calmar
MDLZ
0.10
POST
-0.72
Martin
MDLZ
0.01
POST
-1.62
Comparisons