FITB vs PB: returns, Sharpe ratio and drawdown
Performance
FITB+20.50%PB+5.91%
Summary
FITB vs PB
Over the past year, FITB returned +20.50% against +5.91% for PB. Over five years, FITB averaged +2.98% a year, compared with -2.10% for PB. FITB had the higher Sharpe ratio over the past year (0.70 vs 0.17), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.70% for PB and -21.21% for FITB.
Current Drawdown
FITB-15.16%PB-10.84%
Rolling Volatility
FITB+0.97%PB+0.93%
METRICS
Correlation Matrix
Metrics
Risk Indicators
FITBPB
Alpha
FITB
10.76%
PB
-0.13%
Beta
FITB
0.73x
PB
0.39x
Sharpe
FITB
0.70
PB
0.17
Sortino
FITB
1.01
PB
0.23
Omega
FITB
1.13
PB
1.03
Calmar
FITB
0.97
PB
0.38
Martin
FITB
2.05
PB
0.48
Comparisons