SYF vs USB: returns, Sharpe ratio and drawdown
Performance
SYF+3.85%USB+21.08%
Summary
SYF vs USB
Over the past year, USB returned +21.08% against +3.85% for SYF. Over five years, SYF averaged +8.02% a year, compared with -1.09% for USB. USB had the higher Sharpe ratio over the past year (0.78 vs 0.14), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.21% for USB and -27.91% for SYF.
Current Drawdown
SYF-16.67%USB-12.82%
Rolling Volatility
SYF+1.45%USB+1.24%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SYFUSB
Alpha
SYF
-8.81%
USB
9.51%
Beta
SYF
1.23x
USB
0.73x
Sharpe
SYF
0.14
USB
0.78
Sortino
SYF
0.18
USB
1.09
Omega
SYF
1.02
USB
1.14
Calmar
SYF
0.14
USB
1.30
Martin
SYF
0.29
USB
2.49
Comparisons