DBX vs GEN: returns, Sharpe ratio and drawdown
Performance
DBX+21.44%GEN-9.51%
Summary
DBX vs GEN
Over the past year, DBX returned +21.44% against -9.51% for GEN. DBX had the higher Sharpe ratio over the past year (0.58 vs -0.17), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -29.08% for DBX and -35.87% for GEN.
Current Drawdown
DBX-5.75%GEN-23.08%
Rolling Volatility
DBX+2.46%GEN+3.97%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DBXGEN
Alpha
DBX
20.18%
GEN
-14.65%
Beta
DBX
0.24x
GEN
0.86x
Sharpe
DBX
0.58
GEN
-0.17
Sortino
DBX
0.91
GEN
-0.24
Omega
DBX
1.11
GEN
0.97
Calmar
DBX
0.74
GEN
-0.27
Martin
DBX
1.63
GEN
-0.40
Comparisons