Performance

CAT+37.57%FLS+37.65%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
CAT	-0.66%	+22.12%	+37.57%	+29.29%	-31.38%	0.89
FLS	-0.35%	-0.33%	+37.65%	+16.08%	-30.04%	0.79

Summary

CAT vs FLS

Over the past year, FLS returned +37.65% against +37.57% for CAT. Over five years, CAT averaged +29.29% a year, compared with +16.08% for FLS. CAT had the higher Sharpe ratio over the past year (0.89 vs 0.79), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -30.04% for FLS and -31.38% for CAT.

Current Drawdown

CAT-31.38%FLS-23.38%

Rolling Volatility

CAT+2.00%FLS+1.74%

METRICS

Correlation Matrix

	CAT	FLS
CAT	1.00	0.54
FLS	0.54	1.00

Metrics

Risk Indicators

CATFLS

Alpha

19.00%

23.86%

Beta

1.81x

1.72x

Sharpe

0.89

0.79

Sortino

1.36

1.42

Omega

1.16

1.18

Calmar

1.20

1.25

Martin

2.84

2.63

Comparisons

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FLS vs XLI
FLS vs SPY
FLS vs ITT
FLS vs INIO
FLS vs HUBB

CAT vs FLS: returns, Sharpe ratio and drawdown

CAT vs FLS

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