CE vs LYB: returns, Sharpe ratio and drawdown
Performance
CE+15.72%LYB+40.31%
Summary
CE vs LYB
Over the past year, LYB returned +40.31% against +15.72% for CE. Over five years, LYB averaged -7.21% a year, compared with -21.84% for CE. LYB had the higher Sharpe ratio over the past year (0.91 vs 0.45), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -36.17% for LYB and -37.70% for CE.
Current Drawdown
CE-31.41%LYB-22.30%
Rolling Volatility
CE+2.38%LYB+1.81%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CELYB
Alpha
CE
19.98%
LYB
44.12%
Beta
CE
0.42x
LYB
-0.55x
Sharpe
CE
0.45
LYB
0.91
Sortino
CE
0.72
LYB
1.38
Omega
CE
1.08
LYB
1.16
Calmar
CE
0.42
LYB
1.11
Martin
CE
1.10
LYB
2.21