NAIL vs UDOW: returns, Sharpe ratio and drawdown
Performance
NAIL-58.67%UDOW+22.67%
Summary
NAIL vs UDOW
Over the past year, UDOW returned +22.67% against -58.67% for NAIL. Over five years, UDOW averaged +10.42% a year, compared with -20.23% for NAIL. UDOW had the higher Sharpe ratio over the past year (0.62 vs -0.64), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -28.27% for UDOW and -68.40% for NAIL.
Current Drawdown
NAIL-65.06%UDOW-14.17%
Rolling Volatility
NAIL+4.91%UDOW+1.68%
METRICS
Correlation Matrix
Metrics
Risk Indicators
NAILUDOW
Alpha
NAIL
-84.59%
UDOW
0.36%
Beta
NAIL
3.07x
UDOW
2.46x
Sharpe
NAIL
-0.64
UDOW
0.62
Sortino
NAIL
-0.97
UDOW
0.91
Omega
NAIL
0.90
UDOW
1.11
Calmar
NAIL
-0.86
UDOW
0.80
Martin
NAIL
-1.36
UDOW
2.43
Comparisons