RDDT vs ROKU: returns, Sharpe ratio and drawdown
Performance
RDDT-22.89%ROKU+60.51%
Summary
RDDT vs ROKU
Over the past year, ROKU returned +60.51% against -22.89% for RDDT. ROKU had the higher Sharpe ratio over the past year (1.26 vs -0.09), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -27.69% for ROKU and -52.94% for RDDT.
Current Drawdown
RDDT-39.70%ROKU-3.27%
Rolling Volatility
RDDT+3.08%ROKU+0.54%
METRICS
Correlation Matrix
Metrics
Risk Indicators
RDDTROKU
Alpha
RDDT
-24.87%
ROKU
38.69%
Beta
RDDT
2.03x
ROKU
1.38x
Sharpe
RDDT
-0.09
ROKU
1.26
Sortino
RDDT
-0.12
ROKU
2.16
Omega
RDDT
0.99
ROKU
1.27
Calmar
RDDT
-0.43
ROKU
2.19
Martin
RDDT
-0.18
ROKU
5.46
Comparisons