A vs RGEN: returns, Sharpe ratio and drawdown
Performance
A+20.96%RGEN+13.51%
Summary
A vs RGEN
Over the past year, A returned +20.96% against +13.51% for RGEN. Over five years, A averaged +1.91% a year, compared with -9.66% for RGEN. A had the higher Sharpe ratio over the past year (0.61 vs 0.41), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -29.87% for A and -40.28% for RGEN.
Current Drawdown
A-1.47%RGEN-9.84%
Rolling Volatility
A+1.81%RGEN+3.66%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ARGEN
Alpha
A
12.21%
RGEN
8.05%
Beta
A
0.82x
RGEN
1.18x
Sharpe
A
0.61
RGEN
0.41
Sortino
A
1.05
RGEN
0.60
Omega
A
1.12
RGEN
1.07
Calmar
A
0.70
RGEN
0.34
Martin
A
1.20
RGEN
0.98