CMF vs SCMB: returns, Sharpe ratio and drawdown
Performance
CMF-4.74%SCMB-5.37%
Summary
CMF vs SCMB
Over the past year, CMF returned -4.74% against -5.37% for SCMB. SCMB had the higher Sharpe ratio over the past year (-2.61 vs -2.63), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.10% for CMF and -8.71% for SCMB.
Current Drawdown
CMF-6.15%SCMB-6.49%
Rolling Volatility
CMF+0.41%SCMB+0.46%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CMFSCMB
Alpha
CMF
-10.30%
SCMB
-10.76%
Beta
CMF
0.10x
SCMB
0.08x
Sharpe
CMF
-2.63
SCMB
-2.61
Sortino
CMF
-3.08
SCMB
-3.09
Omega
CMF
0.61
SCMB
0.62
Calmar
CMF
-0.59
SCMB
-0.62
Martin
CMF
-3.29
SCMB
-3.26
Comparisons