Performance

ERIE-29.31%PGR-9.68%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
ERIE	+4.03%	-18.46%	-29.31%	+3.11%	-37.19%	-0.85
PGR	+2.15%	+3.12%	-9.68%	+19.16%	-21.37%	-0.40

Summary

ERIE vs PGR

Over the past year, PGR returned -9.68% against -29.31% for ERIE. Over five years, PGR averaged +19.16% a year, compared with +3.11% for ERIE. PGR had the higher Sharpe ratio over the past year (-0.40 vs -0.85), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -21.37% for PGR and -37.19% for ERIE.

Current Drawdown

ERIE-31.35%PGR-9.68%

Rolling Volatility

ERIE+1.98%PGR+1.34%

METRICS

Correlation Matrix

	ERIE	PGR
ERIE	1.00	0.52
PGR	0.52	1.00

Metrics

Risk Indicators

ERIEPGR

Alpha

-28.08%

-5.70%

Beta

-0.39x

-0.49x

Sharpe

-0.85

-0.40

Sortino

-1.13

-0.52

Omega

0.87

0.93

Calmar

-0.79

-0.45

Martin

-1.37

-0.82

Comparisons

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ERIE vs XLF
ERIE vs SPY
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ERIE vs AJG
ERIE vs MRSH

More PGR comparisons

PGR vs XLF
PGR vs SPY
PGR vs ALL
PGR vs ACGL
PGR vs CB
PGR vs HIG

ERIE vs PGR: returns, Sharpe ratio and drawdown

ERIE vs PGR

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