APD vs LYB: returns, Sharpe ratio and drawdown
Performance
APD+5.96%LYB+26.58%
Summary
APD vs LYB
Over the past year, LYB returned +26.58% against +5.96% for APD. Over five years, APD averaged -1.00% a year, compared with -9.47% for LYB. LYB had the higher Sharpe ratio over the past year (0.66 vs 0.19), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -13.00% for APD and -36.17% for LYB.
Current Drawdown
APD-11.40%LYB-26.75%
Rolling Volatility
APD+1.14%LYB+1.87%
METRICS
Correlation Matrix
Metrics
Risk Indicators
APDLYB
Alpha
APD
3.45%
LYB
32.79%
Beta
APD
0.16x
LYB
-0.37x
Sharpe
APD
0.19
LYB
0.66
Sortino
APD
0.30
LYB
1.00
Omega
APD
1.04
LYB
1.12
Calmar
APD
0.46
LYB
0.73
Martin
APD
0.97
LYB
1.69
Comparisons