AVY vs BALL: returns, Sharpe ratio and drawdown
Performance
AVY+4.23%BALL+22.19%
Summary
AVY vs BALL
Over the past year, BALL returned +22.19% against +4.23% for AVY. Over five years, BALL averaged -3.96% a year, compared with -4.40% for AVY. BALL had the higher Sharpe ratio over the past year (0.74 vs 0.11), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -22.34% for BALL and -22.51% for AVY.
Current Drawdown
AVY-15.11%BALL-13.86%
Rolling Volatility
AVY+0.95%BALL+1.19%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AVYBALL
Alpha
AVY
-1.89%
BALL
17.23%
Beta
AVY
0.45x
BALL
0.17x
Sharpe
AVY
0.11
BALL
0.74
Sortino
AVY
0.19
BALL
1.15
Omega
AVY
1.02
BALL
1.14
Calmar
AVY
0.19
BALL
0.99
Martin
AVY
0.23
BALL
2.04
Comparisons