CCK vs SLGN: returns, Sharpe ratio and drawdown
Performance
CCK+20.91%SLGN-13.18%
Summary
CCK vs SLGN
Over the past year, CCK returned +20.91% against -13.18% for SLGN. Over five years, CCK averaged +1.89% a year, compared with -1.23% for SLGN. CCK had the higher Sharpe ratio over the past year (0.70 vs -0.39), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.73% for CCK and -28.92% for SLGN.
Current Drawdown
CCK-6.54%SLGN-22.68%
Rolling Volatility
CCK+1.31%SLGN+1.77%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CCKSLGN
Alpha
CCK
13.70%
SLGN
-18.12%
Beta
CCK
0.46x
SLGN
0.55x
Sharpe
CCK
0.70
SLGN
-0.39
Sortino
CCK
1.09
SLGN
-0.51
Omega
CCK
1.12
SLGN
0.93
Calmar
CCK
1.01
SLGN
-0.46
Martin
CCK
2.09
SLGN
-0.84
Comparisons