AN vs PAG: returns, Sharpe ratio and drawdown
Performance
AN-25.34%PAG+25.36%
Summary
AN vs PAG
Over the past year, PAG returned +25.36% against -25.34% for AN. Over five years, PAG averaged +15.01% a year, compared with +5.99% for AN. PAG had the higher Sharpe ratio over the past year (0.79 vs -0.89), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.67% for PAG and -33.39% for AN.
Current Drawdown
AN-29.68%PAG-4.93%
Rolling Volatility
AN+2.21%PAG+2.26%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ANPAG
Alpha
AN
-33.46%
PAG
16.91%
Beta
AN
0.51x
PAG
0.57x
Sharpe
AN
-0.89
PAG
0.79
Sortino
AN
-1.17
PAG
1.38
Omega
AN
0.86
PAG
1.16
Calmar
AN
-0.76
PAG
1.23
Martin
AN
-2.16
PAG
2.92