Performance

PPG+5.56%XLB+13.83%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
PPG	-1.42%	-0.37%	+5.56%	-8.32%	-26.05%	0.18
XLB	+0.32%	+7.18%	+13.83%	+3.28%	-12.38%	0.57

Summary

PPG vs XLB

Over the past year, XLB returned +13.83% against +5.56% for PPG. Over five years, XLB averaged +3.28% a year, compared with -8.32% for PPG. XLB had the higher Sharpe ratio over the past year (0.57 vs 0.18), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.38% for XLB and -26.05% for PPG.

Current Drawdown

PPG-20.92%XLB-7.90%

Rolling Volatility

PPG+0.98%XLB+0.86%

METRICS

Correlation Matrix

	PPG	XLB
PPG	1.00	0.71
XLB	0.71	1.00

Metrics

Risk Indicators

PPGXLB

Alpha

-9.42%

-0.06%

Beta

1.07x

0.73x

Sharpe

0.18

0.57

Sortino

0.26

0.85

Omega

1.03

1.10

Calmar

0.21

1.12

Martin

0.43

2.29

Comparisons

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PPG vs SPY
PPG vs SHW
PPG vs AMCR
PPG vs SW
PPG vs ECL

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XLB vs VOO

PPG vs XLB: returns, Sharpe ratio and drawdown

PPG vs XLB

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