FTAI vs GE: returns, Sharpe ratio and drawdown
Performance
FTAI-7.04%GE+3.68%
Summary
FTAI vs GE
Over the past year, GE returned +3.68% against -7.04% for FTAI. Over five years, FTAI averaged +49.05% a year, compared with +37.15% for GE. GE had the higher Sharpe ratio over the past year (0.14 vs 0.13), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.97% for GE and -47.35% for FTAI.
Current Drawdown
FTAI-46.96%GE-17.68%
Rolling Volatility
FTAI+2.96%GE+1.17%
METRICS
Correlation Matrix
Metrics
Risk Indicators
FTAIGE
Alpha
FTAI
-14.22%
GE
-6.88%
Beta
FTAI
2.42x
GE
1.24x
Sharpe
FTAI
0.13
GE
0.14
Sortino
FTAI
0.20
GE
0.19
Omega
FTAI
1.02
GE
1.02
Calmar
FTAI
-0.15
GE
0.18
Martin
FTAI
0.35
GE
0.45
Comparisons