CB vs RLI: returns, Sharpe ratio and drawdown
Performance
CB+34.15%RLI+2.40%
Summary
CB vs RLI
Over the past year, CB returned +34.15% against +2.40% for RLI. Over five years, CB averaged +13.08% a year, compared with +2.45% for RLI. CB had the higher Sharpe ratio over the past year (1.39 vs 0.05), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -10.52% for CB and -28.13% for RLI.
Current Drawdown
CB-1.02%RLI-8.33%
Rolling Volatility
CB+1.09%RLI+1.49%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CBRLI
Alpha
CB
30.87%
RLI
6.03%
Beta
CB
-0.40x
RLI
-0.50x
Sharpe
CB
1.39
RLI
0.05
Sortino
CB
2.24
RLI
0.07
Omega
CB
1.27
RLI
1.01
Calmar
CB
3.25
RLI
0.09
Martin
CB
6.17
RLI
0.11
Comparisons