ROST vs TJX: returns, Sharpe ratio and drawdown
Performance
ROST+50.15%TJX+0.14%
Summary
ROST vs TJX
Over the past year, ROST returned +50.15% against +0.14% for TJX. Over five years, TJX averaged +16.66% a year, compared with +15.73% for ROST. ROST had the higher Sharpe ratio over the past year (1.52 vs -0.10), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -13.03% for ROST and -27.06% for TJX.
Current Drawdown
ROST-11.77%TJX-17.61%
Rolling Volatility
ROST+1.18%TJX+1.31%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ROSTTJX
Alpha
ROST
33.42%
TJX
-3.52%
Beta
ROST
0.62x
TJX
0.13x
Sharpe
ROST
1.52
TJX
-0.10
Sortino
ROST
2.56
TJX
-0.14
Omega
ROST
1.33
TJX
0.98
Calmar
ROST
3.85
TJX
0.01
Martin
ROST
8.43
TJX
-0.23
Comparisons