WGMI vs STCE: returns, Sharpe ratio and drawdown
Performance
WGMI-50.48%STCE-46.64%
Summary
WGMI vs STCE
Over the past year, STCE returned -46.64% against -50.48% for WGMI. WGMI had the higher Sharpe ratio over the past year (-0.45 vs -0.75), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -51.00% for STCE and -67.74% for WGMI. Dividends over the past year came to 2.47% of STCE's price, while WGMI paid none. Their daily returns had a correlation of 0.94 over the past year, which is very high.
Ranking
How WGMI and STCE rank
WGMISTCE
Current Drawdown
WGMI-62.16%STCE-46.64%
Rolling Volatility
WGMI110.67%STCE74.06%
METRICS
Correlation Matrix
Fees and dividends
What WGMI and STCE cost and pay
WGMISTCEExpense ratio0.75%0.30%Yield0.00%2.47%Paid, past yearNone$1.13Pays—Twice a yearGrowth a year——Return with dividends—-46.64%1YReturn, price only—-47.46%1Y
WGMI charges 0.75% a year and STCE 0.30%.
Metrics
Risk Indicators
WGMISTCE
Alpha
WGMI
-73.23%
STCE
-76.17%
Beta
WGMI
3.56x
STCE
2.95x
Sharpe
WGMI
-0.45
STCE
-0.75
Sortino
WGMI
-0.64
STCE
-1.05
Omega
WGMI
0.93
STCE
0.89
Calmar
WGMI
-0.75
STCE
-0.91
Martin
WGMI
-1.30
STCE
-1.78
Comparisons