CGBL vs AOR: returns, Sharpe ratio and drawdown
Performance
CGBL+9.75%AOR+8.75%
Summary
CGBL vs AOR
Over the past year, CGBL returned +9.75% against +8.75% for AOR. CGBL had the higher Sharpe ratio over the past year (0.57 vs 0.54), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -6.64% for AOR and -7.88% for CGBL. Dividends over the past year came to 2.65% of AOR's price, against 1.94% for CGBL. Their daily returns had a correlation of 0.96 over the past year, which is very high.
Ranking
How CGBL and AOR rank
CGBLAOR
Current Drawdown
CGBL-3.15%AOR-2.44%
Rolling Volatility
CGBL12.80%AOR11.91%
METRICS
Correlation Matrix
Fees and dividends
What CGBL and AOR cost and pay
CGBLAORExpense ratio0.33%0.15%Yield1.94%2.65%Paid, past year$0.72$1.81PaysQuarterlyQuarterlyGrowth a year—+18.2%Return with dividends+9.75%1Y+6.04%Return, price only+7.59%1Y+3.45%
CGBL charges 0.33% a year and AOR 0.15%.
Metrics
Risk Indicators
CGBLAOR
Alpha
CGBL
-1.05%
AOR
-1.34%
Beta
CGBL
0.74x
AOR
0.66x
Sharpe
CGBL
0.57
AOR
0.54
Sortino
CGBL
0.81
AOR
0.76
Omega
CGBL
1.10
AOR
1.09
Calmar
CGBL
1.24
AOR
1.32
Martin
CGBL
2.66
AOR
2.85
Comparisons