Performance

MET+20.11%PFG+32.75%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
MET	+2.81%	+22.60%	+20.11%	+8.50%	-18.33%	0.71
PFG	+0.96%	+22.76%	+32.75%	+9.87%	-12.75%	1.19

Summary

MET vs PFG

Over the past year, PFG returned +32.75% against +20.11% for MET. Over five years, PFG averaged +9.87% a year, compared with +8.50% for MET. PFG had the higher Sharpe ratio over the past year (1.19 vs 0.71), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.75% for PFG and -18.33% for MET.

Current Drawdown

MET-1.48%PFG-7.37%

Rolling Volatility

MET+1.15%PFG+1.04%

METRICS

Correlation Matrix

	MET	PFG
MET	1.00	0.69
PFG	0.69	1.00

Metrics

Risk Indicators

METPFG

Alpha

9.51%

20.17%

Beta

0.69x

0.61x

Sharpe

0.71

1.19

Sortino

1.00

1.79

Omega

1.13

1.22

Calmar

1.10

2.57

Martin

2.47

6.93

Comparisons

More MET comparisons

MET vs XLF
MET vs SPY
MET vs PRU
MET vs RF
MET vs TFC

More PFG comparisons

PFG vs XLF
PFG vs SPY
PFG vs PRU
PFG vs AMP
PFG vs RF

MET vs PFG: returns, Sharpe ratio and drawdown

MET vs PFG

More MET comparisons

More PFG comparisons