AR vs EQT: returns, Sharpe ratio and drawdown
Performance
AR+21.35%EQT-3.81%
Summary
AR vs EQT
Over the past year, AR returned +21.35% against -3.81% for EQT. Over five years, EQT averaged +22.38% a year, compared with +14.33% for AR. AR had the higher Sharpe ratio over the past year (0.59 vs -0.13), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -26.42% for AR and -28.51% for EQT.
Current Drawdown
AR-14.40%EQT-20.06%
Rolling Volatility
AR+2.32%EQT+1.75%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AREQT
Alpha
AR
25.73%
EQT
-4.22%
Beta
AR
-0.37x
EQT
0.04x
Sharpe
AR
0.59
EQT
-0.13
Sortino
AR
0.85
EQT
-0.19
Omega
AR
1.10
EQT
0.98
Calmar
AR
0.81
EQT
-0.13
Martin
AR
1.45
EQT
-0.24