EGP vs FR: returns, Sharpe ratio and drawdown
Performance
EGP+7.47%FR+4.83%
Summary
EGP vs FR
Over the past year, EGP returned +7.47% against +4.83% for FR. Over five years, FR averaged +0.18% a year, compared with -0.14% for EGP. EGP had the higher Sharpe ratio over the past year (0.25 vs 0.11), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -14.70% for EGP and -15.51% for FR.
Current Drawdown
EGP-12.09%FR-14.67%
Rolling Volatility
EGP+1.05%FR+1.03%
METRICS
Correlation Matrix
Metrics
Risk Indicators
EGPFR
Alpha
EGP
2.20%
FR
-1.49%
Beta
EGP
0.22x
FR
0.38x
Sharpe
EGP
0.25
FR
0.11
Sortino
EGP
0.36
FR
0.15
Omega
EGP
1.04
FR
1.02
Calmar
EGP
0.51
FR
0.31
Martin
EGP
0.77
FR
0.34
Comparisons