MO vs PM: returns, Sharpe ratio and drawdown
Performance
MO+7.72%PM+25.38%
Summary
MO vs PM
Over the past year, PM returned +25.38% against +7.72% for MO. Over five years, PM averaged +15.43% a year, compared with +8.06% for MO. PM had the higher Sharpe ratio over the past year (0.79 vs 0.25), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.76% for MO and -19.26% for PM.
Current Drawdown
MO-4.32%PM+0.00%
Rolling Volatility
MO+1.11%PM+1.30%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MOPM
Alpha
MO
13.60%
PM
24.43%
Beta
MO
-0.50x
PM
-0.15x
Sharpe
MO
0.25
PM
0.79
Sortino
MO
0.33
PM
1.16
Omega
MO
1.05
PM
1.14
Calmar
MO
0.43
PM
1.32
Martin
MO
0.81
PM
3.13
Comparisons