E vs TTE: returns, Sharpe ratio and drawdown
Performance
E+69.83%TTE+49.64%
Summary
E vs TTE
Over the past year, E returned +69.83% against +49.64% for TTE. Over five years, E averaged +15.58% a year, compared with +12.85% for TTE. E had the higher Sharpe ratio over the past year (1.93 vs 1.58), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.09% for TTE and -20.90% for E.
Current Drawdown
E+0.00%TTE-2.41%
Rolling Volatility
E+1.42%TTE+1.51%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ETTE
Alpha
E
56.14%
TTE
42.49%
Beta
E
-0.35x
TTE
-0.33x
Sharpe
E
1.93
TTE
1.58
Sortino
E
3.00
TTE
2.35
Omega
E
1.36
TTE
1.30
Calmar
E
3.34
TTE
2.47
Martin
E
8.16
TTE
6.42