CL vs MDLZ: returns, Sharpe ratio and drawdown
Performance
CL+13.22%MDLZ-0.54%
Summary
CL vs MDLZ
Over the past year, CL returned +13.22% against -0.54% for MDLZ. Over five years, CL averaged +2.94% a year, compared with +0.17% for MDLZ. CL had the higher Sharpe ratio over the past year (0.47 vs -0.10), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.48% for CL and -17.99% for MDLZ.
Current Drawdown
CL-11.14%MDLZ-6.65%
Rolling Volatility
CL+1.01%MDLZ+1.15%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CLMDLZ
Alpha
CL
11.77%
MDLZ
-0.09%
Beta
CL
-0.11x
MDLZ
-0.21x
Sharpe
CL
0.47
MDLZ
-0.10
Sortino
CL
0.70
MDLZ
-0.15
Omega
CL
1.08
MDLZ
0.98
Calmar
CL
0.76
MDLZ
-0.03
Martin
CL
1.23
MDLZ
-0.31