BX vs HLNE: returns, Sharpe ratio and drawdown
Performance
BX-33.55%HLNE-31.69%
Summary
BX vs HLNE
Over the past year, HLNE returned -31.69% against -33.55% for BX. Over five years, HLNE averaged -4.80% a year, compared with -5.12% for BX. HLNE had the higher Sharpe ratio over the past year (-0.83 vs -1.08), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -37.54% for BX and -52.03% for HLNE.
Current Drawdown
BX-34.80%HLNE-46.80%
Rolling Volatility
BX+1.90%HLNE+1.57%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BXHLNE
Alpha
BX
-52.01%
HLNE
-45.49%
Beta
BX
1.38x
HLNE
1.19x
Sharpe
BX
-1.08
HLNE
-0.83
Sortino
BX
-1.43
HLNE
-1.11
Omega
BX
0.84
HLNE
0.87
Calmar
BX
-0.89
HLNE
-0.61
Martin
BX
-1.78
HLNE
-1.04