CIBR vs BUG: returns, Sharpe ratio and drawdown
Performance
CIBR+29.18%BUG+26.98%
Summary
CIBR vs BUG
Over the past year, CIBR returned +29.18% against +26.98% for BUG. Over five years, CIBR averaged +12.93% a year, compared with +5.87% for BUG. CIBR had the higher Sharpe ratio over the past year (0.87 vs 0.70), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -22.21% for CIBR and -35.17% for BUG.
Current Drawdown
CIBR-10.16%BUG-11.46%
Rolling Volatility
CIBR+1.97%BUG+2.49%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CIBRBUG
Alpha
CIBR
15.09%
BUG
16.46%
Beta
CIBR
1.15x
BUG
1.13x
Sharpe
CIBR
0.87
BUG
0.70
Sortino
CIBR
1.32
BUG
1.07
Omega
CIBR
1.16
BUG
1.13
Calmar
CIBR
1.31
BUG
0.77
Martin
CIBR
2.63
BUG
1.65
Comparisons