MGM vs WYNN: returns, Sharpe ratio and drawdown
Performance
MGM-7.52%WYNN-39.06%
Summary
MGM vs WYNN
Over the past year, MGM returned -7.52% against -39.06% for WYNN. Over five years, WYNN averaged -3.67% a year, compared with -8.97% for MGM. MGM had the higher Sharpe ratio over the past year (-0.12 vs -1.51), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -40.82% for MGM and -43.67% for WYNN.
Current Drawdown
MGM-40.80%WYNN-43.43%
Rolling Volatility
MGM+2.53%WYNN+1.45%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MGMWYNN
Alpha
MGM
-14.09%
WYNN
-58.15%
Beta
MGM
0.86x
WYNN
0.83x
Sharpe
MGM
-0.12
WYNN
-1.51
Sortino
MGM
-0.19
WYNN
-2.03
Omega
MGM
0.98
WYNN
0.78
Calmar
MGM
-0.18
WYNN
-0.89
Martin
MGM
-0.41
WYNN
-2.24
Comparisons