Performance

GL+21.71%HIG-0.50%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
GL	+1.63%	+19.98%	+21.71%	+11.28%	-12.15%	0.88
HIG	+2.02%	-5.56%	-0.50%	+12.45%	-16.01%	-0.15

Summary

GL vs HIG

Over the past year, GL returned +21.71% against -0.50% for HIG. Over five years, HIG averaged +12.45% a year, compared with +11.28% for GL. GL had the higher Sharpe ratio over the past year (0.88 vs -0.15), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.15% for GL and -16.01% for HIG.

Current Drawdown

GL-10.72%HIG-11.12%

Rolling Volatility

GL+0.75%HIG+1.27%

METRICS

Correlation Matrix

	GL	HIG
GL	1.00	0.52
HIG	0.52	1.00

Metrics

Risk Indicators

GLHIG

Alpha

14.10%

-2.02%

Beta

0.30x

-0.09x

Sharpe

0.88

-0.15

Sortino

1.20

-0.22

Omega

1.16

0.98

Calmar

1.79

-0.03

Martin

3.94

-0.51

Comparisons

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HIG vs XLF
HIG vs SPY
HIG vs TRV
HIG vs L
HIG vs CB
HIG vs ACGL

GL vs HIG: returns, Sharpe ratio and drawdown

GL vs HIG

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