DBC vs GSG: returns, Sharpe ratio and drawdown
Performance
DBC+45.94%GSG+57.61%
Summary
DBC vs GSG
Over the past year, GSG returned +57.61% against +45.94% for DBC. Over five years, GSG averaged +15.09% a year, compared with +8.73% for DBC. GSG had the higher Sharpe ratio over the past year (1.75 vs 1.72), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.54% for DBC and -18.81% for GSG.
Current Drawdown
DBC-2.29%GSG-2.72%
Rolling Volatility
DBC+1.15%GSG+1.27%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DBCGSG
Alpha
DBC
39.42%
GSG
50.71%
Beta
DBC
-0.32x
GSG
-0.54x
Sharpe
DBC
1.72
GSG
1.75
Sortino
DBC
2.55
GSG
2.62
Omega
DBC
1.31
GSG
1.33
Calmar
DBC
2.78
GSG
3.06
Martin
DBC
6.89
GSG
7.35
Comparisons