CSL vs ESAB: returns, Sharpe ratio and drawdown
Performance
CSL+1.38%ESAB-46.80%
Summary
CSL vs ESAB
Over the past year, CSL returned +1.38% against -46.80% for ESAB. CSL had the higher Sharpe ratio over the past year (0.10 vs -1.25), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -24.98% for CSL and -52.11% for ESAB.
Current Drawdown
CSL-20.27%ESAB-51.53%
Rolling Volatility
CSL+1.83%ESAB+3.19%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CSLESAB
Alpha
CSL
-7.88%
ESAB
-74.67%
Beta
CSL
1.23x
ESAB
1.83x
Sharpe
CSL
0.10
ESAB
-1.25
Sortino
CSL
0.15
ESAB
-1.73
Omega
CSL
1.02
ESAB
0.81
Calmar
CSL
0.06
ESAB
-0.90
Martin
CSL
0.25
ESAB
-2.01
Comparisons