EME vs MTZ: returns, Sharpe ratio and drawdown
Performance
EME+3.07%MTZ-6.91%
Summary
EME vs MTZ
Over the past year, EME returned +3.07% against -6.91% for MTZ. Over five years, EME averaged +43.15% a year, compared with +16.59% for MTZ. EME had the higher Sharpe ratio over the past year (0.20 vs 0.04), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -28.74% for EME and -56.34% for MTZ.
Current Drawdown
EME-23.53%MTZ-56.34%
Rolling Volatility
EME+2.24%MTZ+2.59%
METRICS
Correlation Matrix
Metrics
Risk Indicators
EMEMTZ
Alpha
EME
-8.94%
MTZ
-13.92%
Beta
EME
1.93x
MTZ
1.74x
Sharpe
EME
0.20
MTZ
0.04
Sortino
EME
0.28
MTZ
0.06
Omega
EME
1.04
MTZ
1.01
Calmar
EME
0.11
MTZ
-0.12
Martin
EME
0.62
MTZ
0.10
Comparisons