APO vs ARES: returns, Sharpe ratio and drawdown
Performance
APO-6.67%ARES-21.05%
Summary
APO vs ARES
Over the past year, APO returned -6.67% against -21.05% for ARES. Over five years, APO averaged +11.36% a year, compared with +8.69% for ARES. APO had the higher Sharpe ratio over the past year (-0.13 vs -0.43), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -34.32% for APO and -45.87% for ARES.
Current Drawdown
APO-24.49%ARES-34.79%
Rolling Volatility
APO+1.40%ARES+1.64%
METRICS
Correlation Matrix
Metrics
Risk Indicators
APOARES
Alpha
APO
-17.74%
ARES
-37.38%
Beta
APO
1.21x
ARES
1.74x
Sharpe
APO
-0.13
ARES
-0.43
Sortino
APO
-0.18
ARES
-0.58
Omega
APO
0.98
ARES
0.93
Calmar
APO
-0.19
ARES
-0.46
Martin
APO
-0.28
ARES
-0.71
Comparisons