Performance

CAT+59.12%GNRC+30.53%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
CAT	-2.17%	+33.05%	+59.12%	+32.05%	-26.29%	1.27
GNRC	+1.38%	+59.04%	+30.53%	-13.10%	-40.78%	0.67

Summary

CAT vs GNRC

Over the past year, CAT returned +59.12% against +30.53% for GNRC. Over five years, CAT averaged +32.05% a year, compared with -13.10% for GNRC. CAT had the higher Sharpe ratio over the past year (1.27 vs 0.67), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -26.29% for CAT and -40.78% for GNRC.

Current Drawdown

CAT-24.68%GNRC-24.07%

Rolling Volatility

CAT+2.06%GNRC+4.67%

METRICS

Correlation Matrix

	CAT	GNRC
CAT	1.00	0.57
GNRC	0.57	1.00

Metrics

Risk Indicators

CATGNRC

Alpha

32.14%

16.56%

Beta

1.70x

2.03x

Sharpe

1.27

0.67

Sortino

1.98

1.08

Omega

1.24

1.13

Calmar

2.25

0.75

Martin

4.36

1.90

Comparisons

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GNRC vs SPY
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CAT vs GNRC: returns, Sharpe ratio and drawdown

CAT vs GNRC

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