APO vs BX: returns, Sharpe ratio and drawdown
Performance
APO-6.67%BX-29.86%
Summary
APO vs BX
Over the past year, APO returned -6.67% against -29.86% for BX. Over five years, APO averaged +11.36% a year, compared with -1.75% for BX. APO had the higher Sharpe ratio over the past year (-0.13 vs -0.92), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -34.32% for APO and -37.72% for BX.
Current Drawdown
APO-24.49%BX-31.28%
Rolling Volatility
APO+1.40%BX+1.67%
METRICS
Correlation Matrix
Metrics
Risk Indicators
APOBX
Alpha
APO
-17.74%
BX
-48.48%
Beta
APO
1.21x
BX
1.38x
Sharpe
APO
-0.13
BX
-0.92
Sortino
APO
-0.18
BX
-1.23
Omega
APO
0.98
BX
0.86
Calmar
APO
-0.19
BX
-0.79
Martin
APO
-0.28
BX
-1.55
Comparisons