CSGP vs ZG: returns, Sharpe ratio and drawdown
Performance
CSGP-56.90%ZG-55.39%
Summary
CSGP vs ZG
Over the past year, ZG returned -55.39% against -56.90% for CSGP. Over five years, CSGP averaged -17.90% a year, compared with -21.44% for ZG. ZG had the higher Sharpe ratio over the past year (-1.49 vs -1.72), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -62.86% for ZG and -65.55% for CSGP.
Current Drawdown
CSGP-58.70%ZG-57.25%
Rolling Volatility
CSGP+2.56%ZG+3.64%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CSGPZG
Alpha
CSGP
-80.67%
ZG
-85.02%
Beta
CSGP
0.19x
ZG
1.22x
Sharpe
CSGP
-1.72
ZG
-1.49
Sortino
CSGP
-2.17
ZG
-1.94
Omega
CSGP
0.74
ZG
0.78
Calmar
CSGP
-0.87
ZG
-0.88
Martin
CSGP
-1.65
ZG
-1.73
Comparisons