AIA vs AVEM: returns, Sharpe ratio and drawdown
Performance
AIA+31.13%AVEM+15.44%
Summary
AIA vs AVEM
Over the past year, AIA returned +31.13% against +15.44% for AVEM. Over five years, AIA averaged +10.03% a year, compared with +6.64% for AVEM. AIA had the higher Sharpe ratio over the past year (0.87 vs 0.53), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -14.28% for AVEM and -17.11% for AIA.
Current Drawdown
AIA-14.62%AVEM-11.27%
Rolling Volatility
AIA+1.60%AVEM+1.16%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AIAAVEM
Alpha
AIA
10.83%
AVEM
-0.87%
Beta
AIA
1.87x
AVEM
1.50x
Sharpe
AIA
0.87
AVEM
0.53
Sortino
AIA
1.24
AVEM
0.75
Omega
AIA
1.16
AVEM
1.10
Calmar
AIA
1.82
AVEM
1.08
Martin
AIA
4.32
AVEM
2.41
Comparisons