HD vs PHM: returns, Sharpe ratio and drawdown
Performance
HD-21.77%PHM-6.49%
Summary
HD vs PHM
Over the past year, PHM returned -6.49% against -21.77% for HD. Over five years, PHM averaged +18.64% a year, compared with -3.36% for HD. PHM had the higher Sharpe ratio over the past year (-0.18 vs -1.00), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -22.76% for PHM and -28.26% for HD.
Current Drawdown
HD-24.61%PHM-20.36%
Rolling Volatility
HD+1.48%PHM+1.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
HDPHM
Alpha
HD
-33.53%
PHM
-15.73%
Beta
HD
0.70x
PHM
0.90x
Sharpe
HD
-1.00
PHM
-0.18
Sortino
HD
-1.40
PHM
-0.28
Omega
HD
0.85
PHM
0.97
Calmar
HD
-0.77
PHM
-0.29
Martin
HD
-1.83
PHM
-0.51