PEN vs STE: returns, Sharpe ratio and drawdown
Performance
PEN+29.58%STE-8.08%
Summary
PEN vs STE
Over the past year, PEN returned +29.58% against -8.08% for STE. Over five years, PEN averaged +3.04% a year, compared with -0.97% for STE. PEN had the higher Sharpe ratio over the past year (0.92 vs -0.38), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.23% for PEN and -25.78% for STE.
Current Drawdown
PEN-10.72%STE-17.12%
Rolling Volatility
PEN+0.26%STE+1.11%
METRICS
Correlation Matrix
Metrics
Risk Indicators
PENSTE
Alpha
PEN
24.99%
STE
-13.85%
Beta
PEN
0.04x
STE
0.44x
Sharpe
PEN
0.92
STE
-0.38
Sortino
PEN
2.02
STE
-0.54
Omega
PEN
1.31
STE
0.94
Calmar
PEN
2.42
STE
-0.31
Martin
PEN
3.05
STE
-0.64
Comparisons