WDC vs MU: returns, Sharpe ratio and drawdown
Performance
WDC+244.20%MU+466.63%
Summary
WDC vs MU
Over the past year, MU returned +466.63% against +244.20% for WDC. Over five years, MU averaged +72.60% a year, compared with +48.45% for WDC. MU had the higher Sharpe ratio over the past year (2.52 vs 1.90), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -39.10% for MU and -47.29% for WDC.
Current Drawdown
WDC-46.76%MU-15.21%
Rolling Volatility
WDC+3.84%MU+2.89%
METRICS
Correlation Matrix
Metrics
Risk Indicators
WDCMU
Alpha
WDC
111.94%
MU
158.34%
Beta
WDC
2.94x
MU
3.24x
Sharpe
WDC
1.90
MU
2.52
Sortino
WDC
2.95
MU
4.24
Omega
WDC
1.36
MU
1.52
Calmar
WDC
5.16
MU
11.93
Martin
WDC
7.57
MU
15.09
Comparisons