Performance

CAT+59.12%ROK+26.65%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
CAT	-2.17%	+33.05%	+59.12%	+32.05%	-26.29%	1.27
ROK	-1.76%	+8.93%	+26.65%	+6.70%	-19.01%	0.78

Summary

CAT vs ROK

Over the past year, CAT returned +59.12% against +26.65% for ROK. Over five years, CAT averaged +32.05% a year, compared with +6.70% for ROK. CAT had the higher Sharpe ratio over the past year (1.27 vs 0.78), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -19.01% for ROK and -26.29% for CAT.

Current Drawdown

CAT-24.68%ROK-10.09%

Rolling Volatility

CAT+2.06%ROK+1.36%

METRICS

Correlation Matrix

	CAT	ROK
CAT	1.00	0.56
ROK	0.56	1.00

Metrics

Risk Indicators

CATROK

Alpha

32.14%

9.71%

Beta

1.70x

1.34x

Sharpe

1.27

0.78

Sortino

1.98

1.15

Omega

1.24

1.14

Calmar

2.25

1.40

Martin

4.36

3.27

Comparisons

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CAT vs ROK: returns, Sharpe ratio and drawdown

CAT vs ROK

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