CL vs HSY: returns, Sharpe ratio and drawdown
Performance
CL+13.22%HSY-15.60%
Summary
CL vs HSY
Over the past year, CL returned +13.22% against -15.60% for HSY. Over five years, CL averaged +2.94% a year, compared with -1.98% for HSY. CL had the higher Sharpe ratio over the past year (0.47 vs -0.68), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.48% for CL and -33.30% for HSY.
Current Drawdown
CL-11.14%HSY-31.21%
Rolling Volatility
CL+1.01%HSY+1.05%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CLHSY
Alpha
CL
11.77%
HSY
-16.52%
Beta
CL
-0.11x
HSY
-0.15x
Sharpe
CL
0.47
HSY
-0.68
Sortino
CL
0.70
HSY
-0.96
Omega
CL
1.08
HSY
0.90
Calmar
CL
0.76
HSY
-0.47
Martin
CL
1.23
HSY
-1.02