CME vs TW: returns, Sharpe ratio and drawdown
Performance
CME+9.81%TW+4.23%
Summary
CME vs TW
Over the past year, CME returned +9.81% against +4.23% for TW. Over five years, CME averaged +5.95% a year, compared with +4.99% for TW. CME had the higher Sharpe ratio over the past year (0.33 vs 0.14), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -27.71% for TW and -33.05% for CME.
Current Drawdown
CME-9.98%TW-10.33%
Rolling Volatility
CME+1.44%TW+1.69%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CMETW
Alpha
CME
11.00%
TW
6.45%
Beta
CME
-0.32x
TW
-0.22x
Sharpe
CME
0.33
TW
0.14
Sortino
CME
0.45
TW
0.20
Omega
CME
1.06
TW
1.03
Calmar
CME
0.30
TW
0.15
Martin
CME
0.58
TW
0.33
Comparisons