ALSN vs PCAR: returns, Sharpe ratio and drawdown
Performance
ALSN+37.38%PCAR+13.68%
Summary
ALSN vs PCAR
Over the past year, ALSN returned +37.38% against +13.68% for PCAR. Over five years, ALSN averaged +27.57% a year, compared with +13.24% for PCAR. ALSN had the higher Sharpe ratio over the past year (1.04 vs 0.45), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.58% for ALSN and -22.68% for PCAR.
Current Drawdown
ALSN-17.79%PCAR-19.82%
Rolling Volatility
ALSN+1.58%PCAR+1.16%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ALSNPCAR
Alpha
ALSN
22.73%
PCAR
3.62%
Beta
ALSN
1.05x
PCAR
0.91x
Sharpe
ALSN
1.04
PCAR
0.45
Sortino
ALSN
1.58
PCAR
0.70
Omega
ALSN
1.18
PCAR
1.08
Calmar
ALSN
1.82
PCAR
0.60
Martin
ALSN
3.39
PCAR
1.35
Comparisons