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PRT vs. CL=F
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between PRT and CL=F is 0.31, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.3

Performance

PRT vs. CL=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PermRock Royalty Trust (PRT) and Crude Oil WTI (CL=F). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
-3.12%
-13.96%
PRT
CL=F

Key characteristics

Sharpe Ratio

PRT:

-0.68

CL=F:

-0.43

Sortino Ratio

PRT:

-0.81

CL=F:

-0.44

Omega Ratio

PRT:

0.90

CL=F:

0.95

Calmar Ratio

PRT:

-0.33

CL=F:

-0.22

Martin Ratio

PRT:

-1.47

CL=F:

-0.91

Ulcer Index

PRT:

14.41%

CL=F:

13.07%

Daily Std Dev

PRT:

31.09%

CL=F:

27.59%

Max Drawdown

PRT:

-91.42%

CL=F:

-93.11%

Current Drawdown

PRT:

-61.96%

CL=F:

-52.19%

Returns By Period

In the year-to-date period, PRT achieves a -14.54% return, which is significantly lower than CL=F's -3.06% return.


PRT

YTD

-14.54%

1M

-12.99%

6M

-3.11%

1Y

-23.37%

5Y*

-1.88%

10Y*

N/A

CL=F

YTD

-3.06%

1M

0.86%

6M

-13.96%

1Y

-6.00%

5Y*

2.49%

10Y*

1.74%

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Risk-Adjusted Performance

PRT vs. CL=F - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PermRock Royalty Trust (PRT) and Crude Oil WTI (CL=F). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for PRT, currently valued at -0.71, compared to the broader market-4.00-2.000.002.00-0.71-0.43
The chart of Sortino ratio for PRT, currently valued at -0.84, compared to the broader market-4.00-2.000.002.004.00-0.84-0.44
The chart of Omega ratio for PRT, currently valued at 0.89, compared to the broader market0.501.001.502.000.890.95
The chart of Calmar ratio for PRT, currently valued at -0.31, compared to the broader market0.002.004.006.00-0.31-0.25
The chart of Martin ratio for PRT, currently valued at -1.68, compared to the broader market-5.000.005.0010.0015.0020.0025.00-1.68-0.91
PRT
CL=F

The current PRT Sharpe Ratio is -0.68, which is lower than the CL=F Sharpe Ratio of -0.43. The chart below compares the historical Sharpe Ratios of PRT and CL=F, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.20-1.00-0.80-0.60-0.40-0.200.000.20JulyAugustSeptemberOctoberNovemberDecember
-0.71
-0.43
PRT
CL=F

Drawdowns

PRT vs. CL=F - Drawdown Comparison

The maximum PRT drawdown since its inception was -91.42%, roughly equal to the maximum CL=F drawdown of -93.11%. Use the drawdown chart below to compare losses from any high point for PRT and CL=F. For additional features, visit the drawdowns tool.


-65.00%-60.00%-55.00%-50.00%-45.00%-40.00%-35.00%-30.00%JulyAugustSeptemberOctoberNovemberDecember
-61.96%
-43.85%
PRT
CL=F

Volatility

PRT vs. CL=F - Volatility Comparison

PermRock Royalty Trust (PRT) has a higher volatility of 10.00% compared to Crude Oil WTI (CL=F) at 6.86%. This indicates that PRT's price experiences larger fluctuations and is considered to be riskier than CL=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
10.00%
6.86%
PRT
CL=F
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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