CE vs EMN: returns, Sharpe ratio and drawdown
Performance
CE+15.72%EMN+1.28%
Summary
CE vs EMN
Over the past year, CE returned +15.72% against +1.28% for EMN. Over five years, EMN averaged -9.80% a year, compared with -21.84% for CE. CE had the higher Sharpe ratio over the past year (0.45 vs 0.06), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -23.67% for EMN and -37.70% for CE.
Current Drawdown
CE-31.41%EMN-23.39%
Rolling Volatility
CE+2.38%EMN+1.32%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CEEMN
Alpha
CE
19.98%
EMN
-5.91%
Beta
CE
0.42x
EMN
0.85x
Sharpe
CE
0.45
EMN
0.06
Sortino
CE
0.72
EMN
0.09
Omega
CE
1.08
EMN
1.01
Calmar
CE
0.42
EMN
0.05
Martin
CE
1.10
EMN
0.17