ETR vs NI: returns, Sharpe ratio and drawdown
Performance
ETR+7.18%NI-5.61%
Summary
ETR vs NI
Over the past year, ETR returned +7.18% against -5.61% for NI. Over five years, ETR averaged +14.97% a year, compared with +10.28% for NI. ETR had the higher Sharpe ratio over the past year (0.23 vs -0.50), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.80% for ETR and -20.54% for NI.
Current Drawdown
ETR-13.08%NI-17.42%
Rolling Volatility
ETR+1.05%NI+0.98%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ETRNI
Alpha
ETR
2.47%
NI
-10.43%
Beta
ETR
0.20x
NI
0.15x
Sharpe
ETR
0.23
NI
-0.50
Sortino
ETR
0.32
NI
-0.66
Omega
ETR
1.04
NI
0.92
Calmar
ETR
0.43
NI
-0.27
Martin
ETR
0.75
NI
-1.11
Comparisons