Performance

CEG-19.11%VST-17.97%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
CEG	+4.56%	-18.62%	-19.11%	+46.36%	-41.45%	-0.28
VST	+3.42%	-2.27%	-17.97%	+52.52%	-36.11%	-0.24

Summary

CEG vs VST

Over the past year, VST returned -17.97% against -19.11% for CEG. Over five years, VST averaged +52.52% a year, compared with +46.36% for CEG. VST had the higher Sharpe ratio over the past year (-0.24 vs -0.28), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -36.11% for VST and -41.45% for CEG.

Current Drawdown

CEG-26.21%VST-23.41%

Rolling Volatility

CEG+3.82%VST+3.37%

METRICS

Correlation Matrix

	CEG	VST
CEG	1.00	0.81
VST	0.81	1.00

Metrics

Risk Indicators

CEGVST

Alpha

-33.32%

-32.60%

Beta

1.38x

1.47x

Sharpe

-0.28

-0.24

Sortino

-0.39

-0.33

Omega

0.95

0.96

Calmar

-0.46

-0.50

Martin

-0.51

-0.47

Comparisons

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CEG vs GEV
CEG vs NEE
CEG vs XLU
CEG vs SPY
CEG vs NRG

More VST comparisons

VST vs NEE
VST vs XLU
VST vs SPY
VST vs NRG
VST vs PEG

CEG vs VST: returns, Sharpe ratio and drawdown

CEG vs VST

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