Performance

EME+14.31%PWR+59.41%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
EME	-0.82%	+21.86%	+14.31%	+46.42%	-28.74%	0.43
PWR	-2.25%	+55.87%	+59.41%	+43.72%	-28.54%	1.18

Summary

EME vs PWR

Over the past year, PWR returned +59.41% against +14.31% for EME. Over five years, EME averaged +46.42% a year, compared with +43.72% for PWR. PWR had the higher Sharpe ratio over the past year (1.18 vs 0.43), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -28.54% for PWR and -28.74% for EME.

Current Drawdown

EME-17.54%PWR-12.72%

Rolling Volatility

EME+2.40%PWR+2.40%

METRICS

Correlation Matrix

	EME	PWR
EME	1.00	0.78
PWR	0.78	1.00

Metrics

Risk Indicators

EMEPWR

Alpha

-0.56%

34.88%

Beta

1.85x

1.63x

Sharpe

0.43

1.18

Sortino

0.62

1.93

Omega

1.08

1.24

Calmar

0.50

2.08

Martin

1.36

5.03

Comparisons

More EME comparisons

EME vs XLI
EME vs SPY
EME vs ETN
EME vs CAT
EME vs CMI

More PWR comparisons

PWR vs XLI
PWR vs SPY
PWR vs ETN
PWR vs CAT
PWR vs GEV

EME vs PWR: returns, Sharpe ratio and drawdown

EME vs PWR

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