ADM vs SEB: returns, Sharpe ratio and drawdown
Performance
ADM+30.73%SEB+14.16%
Summary
ADM vs SEB
Over the past year, ADM returned +30.73% against +14.16% for SEB. Over five years, ADM averaged +5.19% a year, compared with +0.38% for SEB. ADM had the higher Sharpe ratio over the past year (0.95 vs 0.43), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.29% for ADM and -34.38% for SEB.
Current Drawdown
ADM-6.22%SEB-34.17%
Rolling Volatility
ADM+1.58%SEB+1.83%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ADMSEB
Alpha
ADM
27.07%
SEB
16.67%
Beta
ADM
-0.06x
SEB
-0.10x
Sharpe
ADM
0.95
SEB
0.43
Sortino
ADM
1.42
SEB
0.57
Omega
ADM
1.17
SEB
1.08
Calmar
ADM
2.50
SEB
0.41
Martin
ADM
4.62
SEB
0.89
Comparisons