Performance

BNS+42.99%CM+39.31%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
BNS	+0.53%	+22.90%	+42.99%	+6.97%	-13.36%	1.72
CM	+0.20%	+22.42%	+39.31%	+13.25%	-12.57%	1.45

Summary

BNS vs CM

Over the past year, BNS returned +42.99% against +39.31% for CM. Over five years, CM averaged +13.25% a year, compared with +6.97% for BNS. BNS had the higher Sharpe ratio over the past year (1.72 vs 1.45), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.57% for CM and -13.36% for BNS.

Current Drawdown

BNS-3.93%CM-9.10%

Rolling Volatility

BNS+1.21%CM+1.35%

METRICS

Correlation Matrix

	BNS	CM
BNS	1.00	0.79
CM	0.79	1.00

Metrics

Risk Indicators

BNSCM

Alpha

27.01%

23.73%

Beta

0.71x

0.83x

Sharpe

1.72

1.45

Sortino

2.67

2.11

Omega

1.33

1.26

Calmar

3.22

3.13

Martin

8.58

6.95

Comparisons

More BNS comparisons

BNS vs TD
BNS vs RY
BNS vs XLF
BNS vs SPY
BNS vs BMO

More CM comparisons

CM vs TD
CM vs XLF
CM vs SPY
CM vs BMO
CM vs RY

BNS vs CM: returns, Sharpe ratio and drawdown

BNS vs CM

More BNS comparisons

More CM comparisons