ETHE vs ETH: returns, Sharpe ratio and drawdown
Performance
ETHE-40.93%ETH-38.74%
Summary
ETHE vs ETH
Over the past year, ETH returned -38.74% against -40.93% for ETHE. ETH had the higher Sharpe ratio over the past year (-0.55 vs -0.61), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -62.55% for ETH and -63.50% for ETHE.
Current Drawdown
ETHE-43.93%ETH-41.85%
Rolling Volatility
ETHE+2.69%ETH+2.69%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ETHEETH
Alpha
ETHE
-60.71%
ETH
-57.05%
Beta
ETHE
2.44x
ETH
2.44x
Sharpe
ETHE
-0.61
ETH
-0.55
Sortino
ETHE
-0.85
ETH
-0.77
Omega
ETHE
0.90
ETH
0.91
Calmar
ETHE
-0.64
ETH
-0.62
Martin
ETHE
-0.85
ETH
-0.78
Comparisons