AA vs NEM: returns, Sharpe ratio and drawdown
Performance
AA+6.39%NEM+24.99%
Summary
AA vs NEM
Over the past year, NEM returned +24.99% against +6.39% for AA. Over five years, NEM averaged +17.16% a year, compared with -2.05% for AA. NEM had the higher Sharpe ratio over the past year (0.62 vs 0.31), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -32.40% for NEM and -52.17% for AA.
Current Drawdown
AA-50.53%NEM-12.24%
Rolling Volatility
AA+1.91%NEM+2.13%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AANEM
Alpha
AA
1.67%
NEM
14.72%
Beta
AA
1.62x
NEM
1.67x
Sharpe
AA
0.31
NEM
0.62
Sortino
AA
0.45
NEM
0.86
Omega
AA
1.05
NEM
1.11
Calmar
AA
0.12
NEM
0.77
Martin
AA
0.64
NEM
1.95
Comparisons