ETR vs EVRG: returns, Sharpe ratio and drawdown
Performance
ETR+7.18%EVRG+4.99%
Summary
ETR vs EVRG
Over the past year, ETR returned +7.18% against +4.99% for EVRG. Over five years, ETR averaged +14.97% a year, compared with +4.94% for EVRG. ETR had the higher Sharpe ratio over the past year (0.23 vs 0.11), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -11.88% for EVRG and -16.80% for ETR.
Current Drawdown
ETR-13.08%EVRG-8.63%
Rolling Volatility
ETR+1.05%EVRG+0.72%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ETREVRG
Alpha
ETR
2.47%
EVRG
2.03%
Beta
ETR
0.20x
EVRG
-0.03x
Sharpe
ETR
0.23
EVRG
0.11
Sortino
ETR
0.32
EVRG
0.15
Omega
ETR
1.04
EVRG
1.02
Calmar
ETR
0.43
EVRG
0.42
Martin
ETR
0.75
EVRG
0.36
Comparisons