CFG vs FITB: returns, Sharpe ratio and drawdown
Performance
CFG+23.61%FITB+15.78%
Summary
CFG vs FITB
Over the past year, CFG returned +23.61% against +15.78% for FITB. Over five years, CFG averaged +5.93% a year, compared with +3.07% for FITB. CFG had the higher Sharpe ratio over the past year (0.77 vs 0.52), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.32% for CFG and -21.21% for FITB.
Current Drawdown
CFG-14.24%FITB-14.60%
Rolling Volatility
CFG+1.45%FITB+1.30%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CFGFITB
Alpha
CFG
9.78%
FITB
4.92%
Beta
CFG
1.00x
FITB
0.83x
Sharpe
CFG
0.77
FITB
0.52
Sortino
CFG
1.08
FITB
0.73
Omega
CFG
1.14
FITB
1.09
Calmar
CFG
1.29
FITB
0.74
Martin
CFG
2.95
FITB
1.67
Comparisons