UPS vs FDX: returns, Sharpe ratio and drawdown
Performance
UPS+14.12%FDX+29.86%
Summary
UPS vs FDX
Over the past year, FDX returned +29.86% against +14.12% for UPS. Over five years, FDX averaged +4.96% a year, compared with -13.40% for UPS. FDX had the higher Sharpe ratio over the past year (0.83 vs 0.45), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -23.29% for UPS and -32.11% for FDX.
Current Drawdown
UPS-21.19%FDX-29.16%
Rolling Volatility
UPS+1.77%FDX+1.44%
METRICS
Correlation Matrix
Metrics
Risk Indicators
UPSFDX
Alpha
UPS
2.85%
FDX
16.20%
Beta
UPS
0.76x
FDX
0.82x
Sharpe
UPS
0.45
FDX
0.83
Sortino
UPS
0.60
FDX
1.08
Omega
UPS
1.08
FDX
1.18
Calmar
UPS
0.61
FDX
0.93
Martin
UPS
1.16
FDX
1.90
Comparisons