ARE vs EXR: returns, Sharpe ratio and drawdown
Performance
ARE-38.73%EXR-6.96%
Summary
ARE vs EXR
Over the past year, EXR returned -6.96% against -38.73% for ARE. Over five years, EXR averaged -6.18% a year, compared with -25.78% for ARE. EXR had the higher Sharpe ratio over the past year (-0.40 vs -0.90), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.70% for EXR and -48.11% for ARE.
Current Drawdown
ARE-41.44%EXR-12.91%
Rolling Volatility
ARE+2.40%EXR+1.19%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AREEXR
Alpha
ARE
-50.02%
EXR
-13.26%
Beta
ARE
0.70x
EXR
0.38x
Sharpe
ARE
-0.90
EXR
-0.40
Sortino
ARE
-1.13
EXR
-0.55
Omega
ARE
0.85
EXR
0.94
Calmar
ARE
-0.81
EXR
-0.42
Martin
ARE
-1.23
EXR
-1.03
Comparisons