CINF vs WTM: returns, Sharpe ratio and drawdown
Performance
CINF+10.56%WTM+11.80%
Summary
CINF vs WTM
Over the past year, WTM returned +11.80% against +10.56% for CINF. Over five years, WTM averaged +15.52% a year, compared with +7.16% for CINF. WTM had the higher Sharpe ratio over the past year (0.45 vs 0.38), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -14.22% for WTM and -17.01% for CINF.
Current Drawdown
CINF-10.82%WTM-6.86%
Rolling Volatility
CINF+1.12%WTM+0.74%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CINFWTM
Alpha
CINF
8.54%
WTM
7.72%
Beta
CINF
-0.08x
WTM
0.10x
Sharpe
CINF
0.38
WTM
0.45
Sortino
CINF
0.53
WTM
0.70
Omega
CINF
1.06
WTM
1.08
Calmar
CINF
0.62
WTM
0.83
Martin
CINF
1.10
WTM
1.26
Comparisons