PVAL vs CGDV: returns, Sharpe ratio and drawdown
Performance
PVAL+26.21%CGDV+16.11%
Summary
PVAL vs CGDV
Over the past year, PVAL returned +26.21% against +16.11% for CGDV. PVAL had the higher Sharpe ratio over the past year (1.82 vs 0.91), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.22% for PVAL and -9.75% for CGDV.
Current Drawdown
PVAL-1.03%CGDV-4.88%
Rolling Volatility
PVAL+0.47%CGDV+0.65%
METRICS
Correlation Matrix
Metrics
Risk Indicators
PVALCGDV
Alpha
PVAL
13.49%
CGDV
2.79%
Beta
PVAL
0.66x
CGDV
0.93x
Sharpe
PVAL
1.82
CGDV
0.91
Sortino
PVAL
2.81
CGDV
1.34
Omega
PVAL
1.34
CGDV
1.16
Calmar
PVAL
3.63
CGDV
1.65
Martin
PVAL
9.85
CGDV
4.37
Comparisons