HHH vs MAA: returns, Sharpe ratio and drawdown
Performance
HHH-14.73%MAA-12.24%
Summary
HHH vs MAA
Over the past year, MAA returned -12.24% against -14.73% for HHH. Over five years, HHH averaged -3.80% a year, compared with -10.66% for MAA. HHH had the higher Sharpe ratio over the past year (-0.46 vs -0.83), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -19.68% for MAA and -32.98% for HHH.
Current Drawdown
HHH-23.55%MAA-17.98%
Rolling Volatility
HHH+3.55%MAA+0.95%
METRICS
Correlation Matrix
Metrics
Risk Indicators
HHHMAA
Alpha
HHH
-22.40%
MAA
-16.39%
Beta
HHH
0.78x
MAA
0.06x
Sharpe
HHH
-0.46
MAA
-0.83
Sortino
HHH
-0.69
MAA
-1.15
Omega
HHH
0.92
MAA
0.87
Calmar
HHH
-0.45
MAA
-0.62
Martin
HHH
-0.69
MAA
-1.95
Comparisons