META vs RBLX: returns, Sharpe ratio and drawdown
Performance
META-3.12%RBLX-63.25%
Summary
META vs RBLX
Over the past year, META returned -3.12% against -63.25% for RBLX. Over five years, META averaged +17.12% a year, compared with -10.09% for RBLX. META had the higher Sharpe ratio over the past year (0.03 vs -1.15), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -30.06% for META and -73.64% for RBLX.
Current Drawdown
META-8.78%RBLX-63.25%
Rolling Volatility
META+3.49%RBLX+4.02%
METRICS
Correlation Matrix
Metrics
Risk Indicators
METARBLX
Alpha
META
-12.73%
RBLX
-95.30%
Beta
META
1.49x
RBLX
1.63x
Sharpe
META
0.03
RBLX
-1.15
Sortino
META
0.04
RBLX
-1.46
Omega
META
1.00
RBLX
0.81
Calmar
META
-0.10
RBLX
-0.86
Martin
META
0.07
RBLX
-1.43
Comparisons