WTFC vs ZION: returns, Sharpe ratio and drawdown
Performance
WTFC+13.85%ZION+21.91%
Summary
WTFC vs ZION
Over the past year, ZION returned +21.91% against +13.85% for WTFC. Over five years, WTFC averaged +10.31% a year, compared with +0.12% for ZION. ZION had the higher Sharpe ratio over the past year (0.75 vs 0.49), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.67% for ZION and -19.30% for WTFC.
Current Drawdown
WTFC-13.67%ZION-13.56%
Rolling Volatility
WTFC+1.02%ZION+1.02%
METRICS
Correlation Matrix
Metrics
Risk Indicators
WTFCZION
Alpha
WTFC
4.66%
ZION
11.80%
Beta
WTFC
0.72x
ZION
0.74x
Sharpe
WTFC
0.49
ZION
0.75
Sortino
WTFC
0.71
ZION
1.03
Omega
WTFC
1.08
ZION
1.13
Calmar
WTFC
0.72
ZION
1.17
Martin
WTFC
1.43
ZION
2.55
Comparisons