GGG vs MSA: returns, Sharpe ratio and drawdown
Performance
GGG-0.43%MSA+7.66%
Summary
GGG vs MSA
Over the past year, MSA returned +7.66% against -0.43% for GGG. Over five years, MSA averaged +3.21% a year, compared with +1.76% for GGG. MSA had the higher Sharpe ratio over the past year (0.24 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 -23.05% for MSA.
Current Drawdown
GGG-13.53%MSA-11.83%
Rolling Volatility
GGG+0.98%MSA+1.04%
METRICS
Correlation Matrix
Metrics
Risk Indicators
GGGMSA
Alpha
GGG
-7.57%
MSA
-1.50%
Beta
GGG
0.50x
MSA
0.83x
Sharpe
GGG
-0.14
MSA
0.24
Sortino
GGG
-0.20
MSA
0.37
Omega
GGG
0.98
MSA
1.04
Calmar
GGG
-0.02
MSA
0.33
Martin
GGG
-0.22
MSA
0.53
Comparisons