PVH vs RL: returns, Sharpe ratio and drawdown
Performance
PVH+3.14%RL+15.77%
Summary
PVH vs RL
Over the past year, RL returned +15.77% against +3.14% for PVH. Over five years, RL averaged +25.02% a year, compared with -5.01% for PVH. RL had the higher Sharpe ratio over the past year (0.47 vs 0.21), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -19.59% for RL and -30.66% for PVH.
Current Drawdown
PVH-14.30%RL-6.94%
Rolling Volatility
PVH+1.87%RL+1.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
PVHRL
Alpha
PVH
-0.78%
RL
4.94%
Beta
PVH
1.16x
RL
1.22x
Sharpe
PVH
0.21
RL
0.47
Sortino
PVH
0.28
RL
0.74
Omega
PVH
1.04
RL
1.08
Calmar
PVH
0.10
RL
0.80
Martin
PVH
0.51
RL
1.93
Comparisons