BCS vs DB: returns, Sharpe ratio and drawdown
Performance
BCS+16.16%DB-3.92%
Summary
BCS vs DB
Over the past year, BCS returned +16.16% against -3.92% for DB. Over five years, DB averaged +20.65% a year, compared with +15.40% for BCS. BCS had the higher Sharpe ratio over the past year (0.50 vs -0.09), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -27.07% for BCS and -29.66% for DB.
Current Drawdown
BCS-20.20%DB-21.63%
Rolling Volatility
BCS+1.32%DB+1.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BCSDB
Alpha
BCS
0.66%
DB
-19.02%
Beta
BCS
1.59x
DB
1.73x
Sharpe
BCS
0.50
DB
-0.09
Sortino
BCS
0.73
DB
-0.12
Omega
BCS
1.09
DB
0.99
Calmar
BCS
0.60
DB
-0.13
Martin
BCS
1.39
DB
-0.21
Comparisons