MNST vs PG: returns, Sharpe ratio and drawdown
Performance
MNST+26.47%PG+0.01%
Summary
MNST vs PG
Over the past year, MNST returned +26.47% against +0.01% for PG. Over five years, MNST averaged +15.37% a year, compared with +0.84% for PG. MNST had the higher Sharpe ratio over the past year (0.85 vs -0.13), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.15% for PG and -17.70% for MNST.
Current Drawdown
MNST-12.65%PG-9.93%
Rolling Volatility
MNST+1.34%PG+1.04%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MNSTPG
Alpha
MNST
20.31%
PG
-2.25%
Beta
MNST
0.23x
PG
-0.03x
Sharpe
MNST
0.85
PG
-0.13
Sortino
MNST
1.37
PG
-0.18
Omega
MNST
1.17
PG
0.98
Calmar
MNST
1.50
PG
0.00
Martin
MNST
3.02
PG
-0.25
Comparisons