LNT vs NI: returns, Sharpe ratio and drawdown
Performance
LNT-2.59%NI-5.61%
Summary
LNT vs NI
Over the past year, LNT returned -2.59% against -5.61% for NI. Over five years, NI averaged +10.28% a year, compared with +3.28% for LNT. LNT had the higher Sharpe ratio over the past year (-0.35 vs -0.50), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.99% for LNT and -20.54% for NI.
Current Drawdown
LNT-16.06%NI-17.42%
Rolling Volatility
LNT+1.00%NI+0.98%
METRICS
Correlation Matrix
Metrics
Risk Indicators
LNTNI
Alpha
LNT
-4.97%
NI
-10.43%
Beta
LNT
-0.07x
NI
0.15x
Sharpe
LNT
-0.35
NI
-0.50
Sortino
LNT
-0.47
NI
-0.66
Omega
LNT
0.95
NI
0.92
Calmar
LNT
-0.14
NI
-0.27
Martin
LNT
-0.84
NI
-1.11
Comparisons