DASH vs SE: returns, Sharpe ratio and drawdown
Performance
DASH-28.72%SE-43.41%
Summary
DASH vs SE
Over the past year, DASH returned -28.72% against -43.41% for SE. Over five years, DASH averaged -0.59% a year, compared with -23.00% for SE. DASH had the higher Sharpe ratio over the past year (-0.55 vs -0.99), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -44.90% for DASH and -52.83% for SE.
Current Drawdown
DASH-28.91%SE-43.41%
Rolling Volatility
DASH+2.92%SE+1.56%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DASHSE
Alpha
DASH
-40.04%
SE
-61.58%
Beta
DASH
1.43x
SE
1.30x
Sharpe
DASH
-0.55
SE
-0.99
Sortino
DASH
-0.73
SE
-1.38
Omega
DASH
0.91
SE
0.84
Calmar
DASH
-0.64
SE
-0.82
Martin
DASH
-0.91
SE
-1.36
Comparisons