CPT vs INVH: returns, Sharpe ratio and drawdown
Performance
CPT-5.08%INVH-5.43%
Summary
CPT vs INVH
Over the past year, CPT returned -5.08% against -5.43% for INVH. Over five years, INVH averaged -8.02% a year, compared with -9.24% for CPT. INVH had the higher Sharpe ratio over the past year (-0.38 vs -0.41), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.63% for INVH and -18.52% for CPT.
Current Drawdown
CPT-17.71%INVH-13.44%
Rolling Volatility
CPT+1.01%INVH+1.08%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CPTINVH
Alpha
CPT
-8.92%
INVH
-9.01%
Beta
CPT
0.10x
INVH
0.10x
Sharpe
CPT
-0.41
INVH
-0.38
Sortino
CPT
-0.56
INVH
-0.53
Omega
CPT
0.94
INVH
0.94
Calmar
CPT
-0.27
INVH
-0.35
Martin
CPT
-1.12
INVH
-1.12
Comparisons