CRL vs SHC: returns, Sharpe ratio and drawdown
Performance
CRL+63.00%SHC+7.06%
Summary
CRL vs SHC
Over the past year, CRL returned +63.00% against +7.06% for SHC. Over five years, SHC averaged -6.29% a year, compared with -7.77% for CRL. CRL had the higher Sharpe ratio over the past year (1.23 vs 0.23), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -32.14% for SHC and -33.88% for CRL.
Current Drawdown
CRL-3.42%SHC-8.58%
Rolling Volatility
CRL+2.45%SHC+1.28%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CRLSHC
Alpha
CRL
43.63%
SHC
-2.70%
Beta
CRL
1.23x
SHC
0.98x
Sharpe
CRL
1.23
SHC
0.23
Sortino
CRL
1.90
SHC
0.34
Omega
CRL
1.24
SHC
1.04
Calmar
CRL
1.86
SHC
0.22
Martin
CRL
3.43
SHC
0.48
Comparisons