CAR vs GGG: returns, Sharpe ratio and drawdown
Performance
CAR-31.04%GGG-0.43%
Summary
CAR vs GGG
Over the past year, GGG returned -0.43% against -31.04% for CAR. Over five years, GGG averaged +1.76% a year, compared with -9.98% for CAR. CAR had the higher Sharpe ratio over the past year (0.16 vs -0.14), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -22.87% for GGG and -85.60% for CAR.
Current Drawdown
CAR-85.60%GGG-13.53%
Rolling Volatility
CAR+3.32%GGG+0.98%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CARGGG
Alpha
CAR
8.23%
GGG
-7.57%
Beta
CAR
0.82x
GGG
0.50x
Sharpe
CAR
0.16
GGG
-0.14
Sortino
CAR
0.21
GGG
-0.20
Omega
CAR
1.04
GGG
0.98
Calmar
CAR
-0.36
GGG
-0.02
Martin
CAR
0.28
GGG
-0.22
Comparisons