CPT vs SUI: returns, Sharpe ratio and drawdown
Performance
CPT-4.37%SUI-5.05%
Summary
CPT vs SUI
Over the past year, CPT returned -4.37% against -5.05% for SUI. Over five years, CPT averaged -9.64% a year, compared with -9.70% for SUI. CPT had the higher Sharpe ratio over the past year (-0.36 vs -0.39), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.52% for CPT and -19.81% for SUI.
Current Drawdown
CPT-16.15%SUI-13.92%
Rolling Volatility
CPT+0.97%SUI+1.03%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CPTSUI
Alpha
CPT
-7.94%
SUI
-7.63%
Beta
CPT
0.09x
SUI
-0.02x
Sharpe
CPT
-0.36
SUI
-0.39
Sortino
CPT
-0.50
SUI
-0.56
Omega
CPT
0.94
SUI
0.94
Calmar
CPT
-0.24
SUI
-0.25
Martin
CPT
-0.95
SUI
-0.85
Comparisons