PNR vs XYL: returns, Sharpe ratio and drawdown
Performance
PNR-52.39%XYL-30.53%
Summary
PNR vs XYL
Over the past year, XYL returned -30.53% against -52.39% for PNR. Over five years, XYL averaged -3.95% a year, compared with -6.18% for PNR. XYL had the higher Sharpe ratio over the past year (-1.51 vs -2.27), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -34.04% for XYL and -52.85% for PNR.
Current Drawdown
PNR-52.76%XYL-33.32%
Rolling Volatility
PNR+1.07%XYL+1.50%
METRICS
Correlation Matrix
Metrics
Risk Indicators
PNRXYL
Alpha
PNR
-83.92%
XYL
-46.32%
Beta
PNR
0.92x
XYL
0.76x
Sharpe
PNR
-2.27
XYL
-1.51
Sortino
PNR
-2.61
XYL
-1.87
Omega
PNR
0.65
XYL
0.77
Calmar
PNR
-0.99
XYL
-0.90
Martin
PNR
-2.62
XYL
-1.87
Comparisons