DUK vs ED: returns, Sharpe ratio and drawdown
Performance
DUK-6.31%ED+5.15%
Summary
DUK vs ED
Over the past year, ED returned +5.15% against -6.31% for DUK. Over five years, ED averaged +7.33% a year, compared with +3.10% for DUK. ED had the higher Sharpe ratio over the past year (0.12 vs -0.61), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -11.48% for ED and -15.16% for DUK.
Current Drawdown
DUK-12.45%ED-8.20%
Rolling Volatility
DUK+0.76%ED+0.92%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DUKED
Alpha
DUK
-6.83%
ED
7.01%
Beta
DUK
-0.28x
ED
-0.46x
Sharpe
DUK
-0.61
ED
0.12
Sortino
DUK
-0.82
ED
0.17
Omega
DUK
0.91
ED
1.02
Calmar
DUK
-0.42
ED
0.45
Martin
DUK
-1.39
ED
0.38
Comparisons