ENB vs TRP: returns, Sharpe ratio and drawdown
Performance
ENB+1.89%TRP+19.79%
Summary
ENB vs TRP
Over the past year, TRP returned +19.79% against +1.89% for ENB. Over five years, TRP averaged +4.65% a year, compared with +2.84% for ENB. TRP had the higher Sharpe ratio over the past year (0.80 vs -0.05), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.52% for TRP and -20.93% for ENB.
Current Drawdown
ENB-17.13%TRP-12.93%
Rolling Volatility
ENB+1.01%TRP+1.43%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ENBTRP
Alpha
ENB
0.63%
TRP
16.45%
Beta
ENB
-0.17x
TRP
-0.08x
Sharpe
ENB
-0.05
TRP
0.80
Sortino
ENB
-0.07
TRP
1.21
Omega
ENB
0.99
TRP
1.14
Calmar
ENB
0.09
TRP
1.07
Martin
ENB
-0.12
TRP
2.34
Comparisons