CRM vs DT: returns, Sharpe ratio and drawdown
Performance
CRM-5.34%DT+21.93%
Summary
CRM vs DT
Over the past year, DT returned +21.93% against -5.34% for CRM. Over five years, DT averaged -4.04% a year, compared with -4.32% for CRM. DT had the higher Sharpe ratio over the past year (0.58 vs 0.02), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -36.49% for DT and -43.61% for CRM.
Current Drawdown
CRM-9.59%DT-6.34%
Rolling Volatility
CRM+1.98%DT+1.89%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CRMDT
Alpha
CRM
-3.12%
DT
19.41%
Beta
CRM
0.43x
DT
0.57x
Sharpe
CRM
0.02
DT
0.58
Sortino
CRM
0.03
DT
0.84
Omega
CRM
1.00
DT
1.11
Calmar
CRM
-0.12
DT
0.60
Martin
CRM
0.04
DT
1.33
Comparisons