PDD vs BABA: returns, Sharpe ratio and drawdown
Performance
PDD-38.45%BABA-37.10%
Summary
PDD vs BABA
Over the past year, BABA returned -37.10% against -38.45% for PDD. Over five years, PDD averaged -1.87% a year, compared with -7.98% for BABA. BABA had the higher Sharpe ratio over the past year (-1.06 vs -1.44), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -46.93% for PDD and -47.32% for BABA.
Current Drawdown
PDD-41.38%BABA-39.37%
Rolling Volatility
PDD+1.55%BABA+2.32%
METRICS
Correlation Matrix
Metrics
Risk Indicators
PDDBABA
Alpha
PDD
-56.34%
BABA
-53.82%
Beta
PDD
0.90x
BABA
1.15x
Sharpe
PDD
-1.44
BABA
-1.06
Sortino
PDD
-1.88
BABA
-1.58
Omega
PDD
0.78
BABA
0.83
Calmar
PDD
-0.82
BABA
-0.78
Martin
PDD
-1.56
BABA
-1.56
Comparisons