AS vs ONON: returns, Sharpe ratio and drawdown
Performance
AS-2.72%ONON-16.20%
Summary
AS vs ONON
Over the past year, AS returned -2.72% against -16.20% for ONON. AS had the higher Sharpe ratio over the past year (0.01 vs -0.21), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -37.39% for AS and -47.15% for ONON.
Current Drawdown
AS-28.46%ONON-31.36%
Rolling Volatility
AS+1.79%ONON+2.13%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ASONON
Alpha
AS
-13.24%
ONON
-22.51%
Beta
AS
1.48x
ONON
1.33x
Sharpe
AS
0.01
ONON
-0.21
Sortino
AS
0.02
ONON
-0.28
Omega
AS
1.00
ONON
0.96
Calmar
AS
-0.07
ONON
-0.34
Martin
AS
0.03
ONON
-0.39
Comparisons