SLB vs BKR: returns, Sharpe ratio and drawdown
Performance
SLB+47.84%BKR+17.56%
Summary
SLB vs BKR
Over the past year, SLB returned +47.84% against +17.56% for BKR. Over five years, BKR averaged +15.97% a year, compared with +7.60% for SLB. SLB had the higher Sharpe ratio over the past year (1.14 vs 0.52), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -22.27% for SLB and -24.24% for BKR.
Current Drawdown
SLB-18.50%BKR-19.19%
Rolling Volatility
SLB+2.01%BKR+2.08%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SLBBKR
Alpha
SLB
33.54%
BKR
9.85%
Beta
SLB
0.76x
BKR
0.71x
Sharpe
SLB
1.14
BKR
0.52
Sortino
SLB
1.77
BKR
0.74
Omega
SLB
1.22
BKR
1.09
Calmar
SLB
2.15
BKR
0.72
Martin
SLB
4.76
BKR
1.73
Comparisons