CHRD vs EOG: returns, Sharpe ratio and drawdown
Performance
CHRD+72.31%EOG+48.51%
Summary
CHRD vs EOG
Over the past year, CHRD returned +72.31% against +48.51% for EOG. Over five years, EOG averaged +11.39% a year, compared with +5.12% for CHRD. CHRD had the higher Sharpe ratio over the past year (1.48 vs 1.37), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -14.32% for EOG and -25.43% for CHRD.
Current Drawdown
CHRD-1.55%EOG+0.00%
Rolling Volatility
CHRD+2.05%EOG+1.55%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CHRDEOG
Alpha
CHRD
65.34%
EOG
46.50%
Beta
CHRD
-0.74x
EOG
-0.72x
Sharpe
CHRD
1.48
EOG
1.37
Sortino
CHRD
2.18
EOG
2.00
Omega
CHRD
1.27
EOG
1.25
Calmar
CHRD
2.84
EOG
3.39
Martin
CHRD
6.66
EOG
6.27
Comparisons