PL vs XE: Returns, Risk & Full Comparison | Redstone

PL vs XE: Returns, Risk & Full Comparison | Redstone

Performance

PL+0.00%XE-64.52%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
PL	-6.74%	-33.56%	+0.00%	—	-73.62%	0.41
XE	-9.52%	—	—	—	—	—

Current Drawdown

PL-73.62%XE-71.21%

Rolling Volatility

PL+4.49%XE+3.86%

METRICS

Correlation Matrix

	PL	XE
PL	1.00	0.43
XE	0.43	1.00

Metrics

Risk Indicators

PLXE

Alpha

14.01%

—

Beta

2.57x

—

Sharpe

0.41

—

Sortino

0.65

—

Omega

1.08

—

Calmar

0.00

—

Martin

1.05

—

Comparisons

More PL comparisons

More XE comparisons