ENTG vs RMBS: returns, Sharpe ratio and drawdown
Performance
ENTG+49.83%RMBS-10.76%
Summary
ENTG vs RMBS
Over the past year, ENTG returned +49.83% against -10.76% for RMBS. Over five years, RMBS averaged +30.48% a year, compared with -0.29% for ENTG. ENTG had the higher Sharpe ratio over the past year (0.88 vs 0.20), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -41.84% for ENTG and -52.89% for RMBS.
Current Drawdown
ENTG-24.60%RMBS-48.87%
Rolling Volatility
ENTG+3.15%RMBS+4.27%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ENTGRMBS
Alpha
ENTG
28.71%
RMBS
-17.36%
Beta
ENTG
3.25x
RMBS
3.52x
Sharpe
ENTG
0.88
RMBS
0.20
Sortino
ENTG
1.31
RMBS
0.27
Omega
ENTG
1.16
RMBS
1.03
Calmar
ENTG
1.19
RMBS
-0.20
Martin
ENTG
3.82
RMBS
0.55
Comparisons