Performance

EOG+32.69%OXY+35.40%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
EOG	+2.98%	+38.45%	+32.69%	+10.66%	-14.32%	0.97
OXY	+3.56%	+42.24%	+35.40%	+13.79%	-27.63%	0.92

Summary

EOG vs OXY

Over the past year, OXY returned +35.40% against +32.69% for EOG. Over five years, OXY averaged +13.79% a year, compared with +10.66% for EOG. EOG had the higher Sharpe ratio over the past year (0.97 vs 0.92), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -14.32% for EOG and -27.63% for OXY.

Current Drawdown

EOG-3.40%OXY-9.00%

Rolling Volatility

EOG+1.95%OXY+2.30%

METRICS

Correlation Matrix

	EOG	OXY
EOG	1.00	0.81
OXY	0.81	1.00

Metrics

Risk Indicators

EOGOXY

Alpha

34.65%

39.31%

Beta

-0.58x

-0.64x

Sharpe

0.97

0.92

Sortino

1.40

1.36

Omega

1.17

1.16

Calmar

2.28

1.28

Martin

4.39

2.89

Comparisons

More EOG comparisons

EOG vs XLE
EOG vs SPY
EOG vs DVN
EOG vs COP
EOG vs FANG

More OXY comparisons

OXY vs CVX
OXY vs XOM
OXY vs XLE
OXY vs SPY
OXY vs DVN
OXY vs COP

EOG vs OXY: returns, Sharpe ratio and drawdown

EOG vs OXY

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