GEV vs CEG: returns, Sharpe ratio and drawdown
Performance
GEV+66.19%CEG-19.11%
Summary
GEV vs CEG
Over the past year, GEV returned +66.19% against -19.11% for CEG. Over five years, GEV averaged +130.93% a year, compared with +46.36% for CEG. GEV had the higher Sharpe ratio over the past year (1.16 vs -0.28), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -24.57% for GEV and -41.45% for CEG.
Current Drawdown
GEV-12.79%CEG-26.21%
Rolling Volatility
GEV+2.72%CEG+3.82%
METRICS
Correlation Matrix
Metrics
Risk Indicators
GEVCEG
Alpha
GEV
32.82%
CEG
-33.32%
Beta
GEV
1.96x
CEG
1.38x
Sharpe
GEV
1.16
CEG
-0.28
Sortino
GEV
1.77
CEG
-0.39
Omega
GEV
1.22
CEG
0.95
Calmar
GEV
2.69
CEG
-0.46
Martin
GEV
5.58
CEG
-0.51
Comparisons