CFG vs ZION: returns, Sharpe ratio and drawdown
Performance
CFG+25.99%ZION+21.91%
Summary
CFG vs ZION
Over the past year, CFG returned +25.99% against +21.91% for ZION. Over five years, CFG averaged +6.03% a year, compared with +0.12% for ZION. CFG had the higher Sharpe ratio over the past year (0.87 vs 0.75), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.32% for CFG and -18.67% for ZION.
Current Drawdown
CFG-15.21%ZION-13.56%
Rolling Volatility
CFG+1.08%ZION+1.02%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CFGZION
Alpha
CFG
13.70%
ZION
11.80%
Beta
CFG
0.90x
ZION
0.74x
Sharpe
CFG
0.87
ZION
0.75
Sortino
CFG
1.28
ZION
1.03
Omega
CFG
1.16
ZION
1.13
Calmar
CFG
1.42
ZION
1.17
Martin
CFG
3.01
ZION
2.55
Comparisons