CME vs CBOE: returns, Sharpe ratio and drawdown
Performance
CME+3.36%CBOE+24.29%
Summary
CME vs CBOE
Over the past year, CBOE returned +24.29% against +3.36% for CME. Over five years, CBOE averaged +19.42% a year, compared with +5.79% for CME. CBOE had the higher Sharpe ratio over the past year (0.67 vs 0.08), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -33.05% for CME and -36.87% for CBOE.
Current Drawdown
CME-14.06%CBOE-17.05%
Rolling Volatility
CME+1.41%CBOE+2.56%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CMECBOE
Alpha
CME
5.61%
CBOE
28.59%
Beta
CME
-0.26x
CBOE
-0.34x
Sharpe
CME
0.08
CBOE
0.67
Sortino
CME
0.11
CBOE
0.94
Omega
CME
1.01
CBOE
1.12
Calmar
CME
0.10
CBOE
0.66
Martin
CME
0.14
CBOE
1.62
Comparisons