Performance

CP+14.15%NSC+12.29%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
CP	+0.52%	+17.34%	+14.15%	+2.47%	-13.51%	0.51
NSC	+0.64%	+13.58%	+12.29%	+2.23%	-12.47%	0.45

Summary

CP vs NSC

Over the past year, CP returned +14.15% against +12.29% for NSC. Over five years, CP averaged +2.47% a year, compared with +2.23% for NSC. CP had the higher Sharpe ratio over the past year (0.51 vs 0.45), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.47% for NSC and -13.51% for CP.

Current Drawdown

CP-9.65%NSC-7.38%

Rolling Volatility

CP+0.99%NSC+0.95%

METRICS

Correlation Matrix

	CP	NSC
CP	1.00	0.63
NSC	0.63	1.00

Metrics

Risk Indicators

CPNSC

Alpha

7.11%

7.56%

Beta

0.47x

0.19x

Sharpe

0.51

0.45

Sortino

0.75

0.69

Omega

1.09

Calmar

1.05

0.99

Martin

1.84

1.74

Comparisons

More CP comparisons

CP vs XLI
CP vs SPY
CP vs CNI
CP vs UNP
CP vs CSX

More NSC comparisons

NSC vs XLI
NSC vs SPY
NSC vs UNP
NSC vs CSX
NSC vs CNI

CP vs NSC: returns, Sharpe ratio and drawdown

CP vs NSC

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