GPN vs V: returns, Sharpe ratio and drawdown
Performance
GPN-5.06%V+8.09%
Summary
GPN vs V
Over the past year, V returned +8.09% against -5.06% for GPN. Over five years, V averaged +10.21% a year, compared with -12.45% for GPN. V had the higher Sharpe ratio over the past year (0.26 vs -0.04), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.35% for V and -28.74% for GPN.
Current Drawdown
GPN-12.72%V-2.35%
Rolling Volatility
GPN+1.85%V+1.04%
METRICS
Correlation Matrix
Metrics
Risk Indicators
GPNV
Alpha
GPN
-13.33%
V
2.52%
Beta
GPN
1.10x
V
0.31x
Sharpe
GPN
-0.04
V
0.26
Sortino
GPN
-0.06
V
0.40
Omega
GPN
0.99
V
1.05
Calmar
GPN
-0.18
V
0.47
Martin
GPN
-0.10
V
0.74
Comparisons