Performance

CAT+37.57%RBC+28.57%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
CAT	-0.66%	+22.12%	+37.57%	+29.29%	-31.38%	0.89
RBC	+0.16%	+8.66%	+28.57%	+16.45%	-26.33%	0.90

Summary

CAT vs RBC

Over the past year, CAT returned +37.57% against +28.57% for RBC. Over five years, CAT averaged +29.29% a year, compared with +16.45% for RBC. RBC had the higher Sharpe ratio over the past year (0.90 vs 0.89), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -26.33% for RBC and -31.38% for CAT.

Current Drawdown

CAT-31.38%RBC-23.17%

Rolling Volatility

CAT+2.00%RBC+1.34%

METRICS

Correlation Matrix

	CAT	RBC
CAT	1.00	0.64
RBC	0.64	1.00

Metrics

Risk Indicators

CATRBC

Alpha

19.00%

14.71%

Beta

1.81x

1.08x

Sharpe

0.89

0.90

Sortino

1.36

1.33

Omega

1.16

Calmar

1.20

1.09

Martin

2.84

2.29

Comparisons

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CAT vs RBC: returns, Sharpe ratio and drawdown

CAT vs RBC

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