NOWL vs ORCX: returns, Sharpe ratio and drawdown
Performance
NOWL-64.13%ORCX-86.21%
Summary
NOWL vs ORCX
Over the past year, NOWL returned -64.13% against -86.21% for ORCX. NOWL had the higher Sharpe ratio over the past year (-0.34 vs -1.21), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -84.50% for NOWL and -88.28% for ORCX.
Current Drawdown
NOWL-66.41%ORCX-86.76%
Rolling Volatility
NOWL+4.88%ORCX+6.87%
METRICS
Correlation Matrix
Metrics
Risk Indicators
NOWLORCX
Alpha
NOWL
-50.74%
ORCX
-180.23%
Beta
NOWL
1.26x
ORCX
4.45x
Sharpe
NOWL
-0.34
ORCX
-1.21
Sortino
NOWL
-0.47
ORCX
-1.68
Omega
NOWL
0.94
ORCX
0.82
Calmar
NOWL
-0.76
ORCX
-0.98
Martin
NOWL
-0.59
ORCX
-2.00
Comparisons