DE vs CAT: returns, Sharpe ratio and drawdown
Performance
DE+39.11%CAT+62.93%
Summary
DE vs CAT
Over the past year, CAT returned +62.93% against +39.11% for DE. Over five years, CAT averaged +32.20% a year, compared with +13.33% for DE. CAT had the higher Sharpe ratio over the past year (1.33 vs 1.04), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.13% for DE and -26.29% for CAT.
Current Drawdown
DE-12.48%CAT-24.27%
Rolling Volatility
DE+1.85%CAT+2.05%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DECAT
Alpha
DE
27.80%
CAT
28.22%
Beta
DE
0.46x
CAT
1.74x
Sharpe
DE
1.04
CAT
1.33
Sortino
DE
1.71
CAT
2.08
Omega
DE
1.20
CAT
1.25
Calmar
DE
1.94
CAT
2.39
Martin
DE
4.02
CAT
4.53
Comparisons