TMUS vs VZ: returns, Sharpe ratio and drawdown
Performance
TMUS-24.27%VZ+13.52%
Summary
TMUS vs VZ
Over the past year, VZ returned +13.52% against -24.27% for TMUS. Over five years, TMUS averaged +7.84% a year, compared with -2.38% for VZ. VZ had the higher Sharpe ratio over the past year (0.45 vs -0.94), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.28% for VZ and -29.71% for TMUS.
Current Drawdown
TMUS-25.55%VZ-9.91%
Rolling Volatility
TMUS+1.84%VZ+1.32%
METRICS
Correlation Matrix
Metrics
Risk Indicators
TMUSVZ
Alpha
TMUS
-24.57%
VZ
14.47%
Beta
TMUS
-0.33x
VZ
-0.27x
Sharpe
TMUS
-0.94
VZ
0.45
Sortino
TMUS
-1.24
VZ
0.71
Omega
TMUS
0.85
VZ
1.09
Calmar
TMUS
-0.82
VZ
0.74
Martin
TMUS
-1.67
VZ
1.61
Comparisons