EW vs ISRG: returns, Sharpe ratio and drawdown
Performance
EW+12.04%ISRG-6.39%
Summary
EW vs ISRG
Over the past year, EW returned +12.04% against -6.39% for ISRG. Over five years, ISRG averaged +4.63% a year, compared with -5.58% for EW. EW had the higher Sharpe ratio over the past year (0.40 vs -0.12), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -13.19% for EW and -44.00% for ISRG.
Current Drawdown
EW-11.49%ISRG-29.93%
Rolling Volatility
EW+1.61%ISRG+1.59%
METRICS
Correlation Matrix
Metrics
Risk Indicators
EWISRG
Alpha
EW
4.05%
ISRG
-14.18%
Beta
EW
0.57x
ISRG
0.91x
Sharpe
EW
0.40
ISRG
-0.12
Sortino
EW
0.60
ISRG
-0.17
Omega
EW
1.07
ISRG
0.98
Calmar
EW
0.91
ISRG
-0.15
Martin
EW
1.76
ISRG
-0.18
Comparisons