CINF vs RNR: returns, Sharpe ratio and drawdown
Performance
CINF+10.56%RNR+41.20%
Summary
CINF vs RNR
Over the past year, RNR returned +41.20% against +10.56% for CINF. Over five years, RNR averaged +20.02% a year, compared with +7.16% for CINF. RNR had the higher Sharpe ratio over the past year (1.39 vs 0.38), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -11.90% for RNR and -17.01% for CINF.
Current Drawdown
CINF-10.82%RNR+0.00%
Rolling Volatility
CINF+1.12%RNR+1.13%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CINFRNR
Alpha
CINF
8.54%
RNR
37.58%
Beta
CINF
-0.08x
RNR
-0.46x
Sharpe
CINF
0.38
RNR
1.39
Sortino
CINF
0.53
RNR
2.16
Omega
CINF
1.06
RNR
1.27
Calmar
CINF
0.62
RNR
3.46
Martin
CINF
1.10
RNR
8.49
Comparisons