Performance

AFL+3.39%GL+21.71%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
AFL	+1.95%	+4.26%	+3.39%	+15.70%	-14.18%	0.02
GL	+1.63%	+19.98%	+21.71%	+11.28%	-12.15%	0.88

Summary

AFL vs GL

Over the past year, GL returned +21.71% against +3.39% for AFL. Over five years, AFL averaged +15.70% a year, compared with +11.28% for GL. GL had the higher Sharpe ratio over the past year (0.88 vs 0.02), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.15% for GL and -14.18% for AFL.

Current Drawdown

AFL-11.28%GL-10.72%

Rolling Volatility

AFL+0.86%GL+0.75%

METRICS

Correlation Matrix

	AFL	GL
AFL	1.00	0.52
GL	0.52	1.00

Metrics

Risk Indicators

AFLGL

Alpha

2.07%

14.10%

Beta

-0.16x

0.30x

Sharpe

0.02

0.88

Sortino

0.03

1.20

Omega

1.00

1.16

Calmar

0.24

1.79

Martin

0.06

3.94

Comparisons

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AFL vs GL: returns, Sharpe ratio and drawdown

AFL vs GL

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