T vs VZ: returns, Sharpe ratio and drawdown
Performance
T-14.26%VZ+4.52%
Summary
T vs VZ
Over the past year, VZ returned +4.52% against -14.26% for T. Over five years, T averaged -2.91% a year, compared with -4.45% for VZ. VZ had the higher Sharpe ratio over the past year (0.14 vs -0.59), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -19.05% for VZ and -29.62% for T.
Current Drawdown
T-23.78%VZ-19.05%
Rolling Volatility
T+2.61%VZ+2.46%
METRICS
Correlation Matrix
Metrics
Risk Indicators
TVZ
Alpha
T
-10.74%
VZ
8.80%
Beta
T
-0.39x
VZ
-0.36x
Sharpe
T
-0.59
VZ
0.14
Sortino
T
-0.77
VZ
0.20
Omega
T
0.90
VZ
1.03
Calmar
T
-0.48
VZ
0.24
Martin
T
-1.26
VZ
0.51
Comparisons