Performance

PG+1.03%JNJ+37.08%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
PG	+0.42%	+6.66%	+1.03%	+0.93%	-16.15%	-0.08
JNJ	+1.93%	+26.09%	+37.08%	+10.17%	-10.96%	1.51

Summary

PG vs JNJ

Over the past year, JNJ returned +37.08% against +1.03% for PG. Over five years, JNJ averaged +10.17% a year, compared with +0.93% for PG. JNJ had the higher Sharpe ratio over the past year (1.51 vs -0.08), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -10.96% for JNJ and -16.15% for PG.

Current Drawdown

PG-9.55%JNJ-6.10%

Rolling Volatility

PG+1.04%JNJ+0.98%

METRICS

Correlation Matrix

	PG	JNJ
PG	1.00	0.38
JNJ	0.38	1.00

Metrics

Risk Indicators

PGJNJ

Alpha

-0.99%

31.94%

Beta

-0.04x

-0.19x

Sharpe

-0.08

1.51

Sortino

-0.11

2.35

Omega

0.99

1.28

Calmar

0.06

3.38

Martin

-0.15

6.69

Comparisons

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PG vs JNJ: returns, Sharpe ratio and drawdown

PG vs JNJ

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