C vs NTRS: returns, Sharpe ratio and drawdown
Performance
C+33.53%NTRS+29.63%
Summary
C vs NTRS
Over the past year, C returned +33.53% against +29.63% for NTRS. Over five years, C averaged +12.15% a year, compared with +6.89% for NTRS. NTRS had the higher Sharpe ratio over the past year (0.99 vs 0.99), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.87% for NTRS and -14.76% for C.
Current Drawdown
C-12.08%NTRS-12.00%
Rolling Volatility
C+1.25%NTRS+1.35%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CNTRS
Alpha
C
14.55%
NTRS
14.74%
Beta
C
1.35x
NTRS
0.94x
Sharpe
C
0.99
NTRS
0.99
Sortino
C
1.45
NTRS
1.48
Omega
C
1.18
NTRS
1.18
Calmar
C
2.27
NTRS
2.30
Martin
C
4.43
NTRS
4.92