Performance

BX-33.55%CG-37.59%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
BX	-2.37%	-32.87%	-33.55%	-5.12%	-37.54%	-1.08
CG	-1.17%	-40.22%	-37.59%	-8.37%	-45.90%	-1.24

Summary

BX vs CG

Over the past year, BX returned -33.55% against -37.59% for CG. Over five years, BX averaged -5.12% a year, compared with -8.37% for CG. BX had the higher Sharpe ratio over the past year (-1.08 vs -1.24), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -37.54% for BX and -45.90% for CG.

Current Drawdown

BX-34.80%CG-44.98%

Rolling Volatility

BX+1.90%CG+1.67%

METRICS

Correlation Matrix

	BX	CG
BX	1.00	0.73
CG	0.73	1.00

Metrics

Risk Indicators

BXCG

Alpha

-52.01%

-59.60%

Beta

1.38x

1.52x

Sharpe

-1.08

-1.24

Sortino

-1.43

-1.65

Omega

0.84

0.82

Calmar

-0.89

-0.82

Martin

-1.78

-1.77

Comparisons

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BX vs XLF
BX vs SPY
BX vs KKR
BX vs ARES
BX vs TPG
BX vs APO

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CG vs XLF
CG vs SPY
CG vs TPG
CG vs KKR
CG vs BN

BX vs CG: returns, Sharpe ratio and drawdown

BX vs CG

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