Performance

NRG-36.81%VST-25.65%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
NRG	-2.11%	-36.01%	-36.81%	+20.93%	-48.25%	-0.78
VST	-6.35%	-5.50%	-25.65%	+51.49%	-36.11%	-0.43

Summary

NRG vs VST

Over the past year, VST returned -25.65% against -36.81% for NRG. Over five years, VST averaged +51.49% a year, compared with +20.93% for NRG. VST had the higher Sharpe ratio over the past year (-0.43 vs -0.78), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -36.11% for VST and -48.25% for NRG.

Current Drawdown

NRG-42.23%VST-25.95%

Rolling Volatility

NRG+2.77%VST+3.37%

METRICS

Correlation Matrix

	NRG	VST
NRG	1.00	0.78
VST	0.78	1.00

Metrics

Risk Indicators

NRGVST

Alpha

-53.45%

-37.79%

Beta

1.38x

1.49x

Sharpe

-0.78

-0.43

Sortino

-1.02

-0.58

Omega

0.88

0.93

Calmar

-0.76

-0.71

Martin

-1.63

-0.87

Comparisons

More NRG comparisons

NRG vs XLU
NRG vs SPY
NRG vs CEG
NRG vs ETR
NRG vs PEG

More VST comparisons

VST vs CEG
VST vs NEE
VST vs XLU
VST vs SPY
VST vs PEG

NRG vs VST: returns, Sharpe ratio and drawdown

NRG vs VST

More NRG comparisons

More VST comparisons