RNG vs WDAY: returns, Sharpe ratio and drawdown
Performance
RNG+172.74%WDAY-20.89%
Summary
RNG vs WDAY
Over the past year, RNG returned +172.74% against -20.89% for WDAY. Over five years, WDAY averaged -8.08% a year, compared with -21.03% for RNG. RNG had the higher Sharpe ratio over the past year (1.71 vs -0.26), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -29.43% for RNG and -54.21% for WDAY.
Current Drawdown
RNG-5.63%WDAY-22.33%
Rolling Volatility
RNG+3.38%WDAY+1.72%
METRICS
Correlation Matrix
Metrics
Risk Indicators
RNGWDAY
Alpha
RNG
109.99%
WDAY
-16.63%
Beta
RNG
1.13x
WDAY
0.30x
Sharpe
RNG
1.71
WDAY
-0.26
Sortino
RNG
3.27
WDAY
-0.39
Omega
RNG
1.40
WDAY
0.96
Calmar
RNG
5.87
WDAY
-0.39
Martin
RNG
11.08
WDAY
-0.40
Comparisons