Performance

GE+5.73%GEV+66.19%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
GE	+0.84%	-3.91%	+5.73%	+36.61%	-20.97%	0.20
GEV	+0.54%	+47.85%	+66.19%	+130.93%	-24.57%	1.16

Summary

GE vs GEV

Over the past year, GEV returned +66.19% against +5.73% for GE. Over five years, GEV averaged +130.93% a year, compared with +36.61% for GE. GEV had the higher Sharpe ratio over the past year (1.16 vs 0.20), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.97% for GE and -24.57% for GEV.

Current Drawdown

GE-19.15%GEV-12.79%

Rolling Volatility

GE+1.42%GEV+2.72%

METRICS

Correlation Matrix

	GE	GEV
GE	1.00	0.35
GEV	0.35	1.00

Metrics

Risk Indicators

GEGEV

Alpha

-11.08%

32.82%

Beta

1.26x

1.96x

Sharpe

0.20

1.16

Sortino

0.28

1.77

Omega

1.03

1.22

Calmar

0.27

2.69

Martin

0.67

5.58

Comparisons

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GE vs SPY
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GE vs XLI
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GEV vs CEG
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GEV vs SPY
GEV vs ETN
GEV vs PWR

GE vs GEV: returns, Sharpe ratio and drawdown

GE vs GEV

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