Performance

NOW-22.64%SAP-19.29%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
NOW	-4.44%	-3.72%	-22.64%	+0.35%	-56.14%	-0.23
SAP	-0.32%	-5.33%	-19.29%	+9.21%	-47.81%	-0.48

Summary

NOW vs SAP

Over the past year, SAP returned -19.29% against -22.64% for NOW. Over five years, SAP averaged +9.21% a year, compared with +0.35% for NOW. NOW had the higher Sharpe ratio over the past year (-0.23 vs -0.48), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -47.81% for SAP and -56.14% for NOW.

Current Drawdown

NOW-24.99%SAP-20.03%

Rolling Volatility

NOW+2.41%SAP+0.98%

METRICS

Correlation Matrix

	NOW	SAP
NOW	1.00	0.72
SAP	0.72	1.00

Metrics

Risk Indicators

NOWSAP

Alpha

-19.27%

-24.57%

Beta

0.62x

0.64x

Sharpe

-0.23

-0.48

Sortino

-0.33

-0.66

Omega

0.96

0.92

Calmar

-0.40

Martin

-0.37

-0.63

Comparisons

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NOW vs SAP: returns, Sharpe ratio and drawdown

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