TEAM vs WDAY: returns, Sharpe ratio and drawdown
Performance
TEAM+30.88%WDAY-20.89%
Summary
TEAM vs WDAY
Over the past year, TEAM returned +30.88% against -20.89% for WDAY. Over five years, WDAY averaged -8.08% a year, compared with -14.71% for TEAM. TEAM had the higher Sharpe ratio over the past year (0.66 vs -0.26), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -54.21% for WDAY and -67.54% for TEAM.
Current Drawdown
TEAM-4.28%WDAY-22.33%
Rolling Volatility
TEAM+3.08%WDAY+1.72%
METRICS
Correlation Matrix
Metrics
Risk Indicators
TEAMWDAY
Alpha
TEAM
44.16%
WDAY
-16.63%
Beta
TEAM
0.81x
WDAY
0.30x
Sharpe
TEAM
0.66
WDAY
-0.26
Sortino
TEAM
1.18
WDAY
-0.39
Omega
TEAM
1.13
WDAY
0.96
Calmar
TEAM
0.46
WDAY
-0.39
Martin
TEAM
1.33
WDAY
-0.40
Comparisons