Performance

STX+265.24%WDC+244.20%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
STX	+1.06%	+172.31%	+265.24%	+57.23%	-31.86%	2.05
WDC	+1.01%	+111.66%	+244.20%	+48.45%	-47.29%	1.90

Summary

STX vs WDC

Over the past year, STX returned +265.24% against +244.20% for WDC. Over five years, STX averaged +57.23% a year, compared with +48.45% for WDC. STX had the higher Sharpe ratio over the past year (2.05 vs 1.90), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -31.86% for STX and -47.29% for WDC.

Current Drawdown

STX-28.43%WDC-46.76%

Rolling Volatility

STX+4.15%WDC+3.84%

METRICS

Correlation Matrix

	STX	WDC
STX	1.00	0.88
WDC	0.88	1.00

Metrics

Risk Indicators

STXWDC

Alpha

122.82%

111.94%

Beta

2.30x

2.94x

Sharpe

2.05

1.90

Sortino

3.26

2.95

Omega

1.40

1.36

Calmar

8.33

5.16

Martin

11.35

7.57

Comparisons

More STX comparisons

STX vs MU
STX vs XLK
STX vs SPY
STX vs SNDK
STX vs LRCX

More WDC comparisons

WDC vs MU
WDC vs SNDK
WDC vs XLK
WDC vs SPY
WDC vs LRCX

STX vs WDC: returns, Sharpe ratio and drawdown

STX vs WDC

More STX comparisons

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