Performance

DCI+5.72%ITW+7.88%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
DCI	+0.23%	-2.18%	+5.72%	+8.00%	-26.25%	0.17
ITW	+0.40%	+9.13%	+7.88%	+3.65%	-17.95%	0.25

Summary

DCI vs ITW

Over the past year, ITW returned +7.88% against +5.72% for DCI. Over five years, DCI averaged +8.00% a year, compared with +3.65% for ITW. ITW had the higher Sharpe ratio over the past year (0.25 vs 0.17), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.95% for ITW and -26.25% for DCI.

Current Drawdown

DCI-20.44%ITW-9.12%

Rolling Volatility

DCI+0.88%ITW+1.33%

METRICS

Correlation Matrix

	DCI	ITW
DCI	1.00	0.56
ITW	0.56	1.00

Metrics

Risk Indicators

DCIITW

Alpha

-3.41%

1.21%

Beta

0.85x

0.47x

Sharpe

0.17

0.25

Sortino

0.24

0.37

Omega

1.03

1.04

Calmar

0.22

0.44

Martin

0.28

0.61

Comparisons

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DCI vs XLI
DCI vs SPY
DCI vs LECO
DCI vs SNA
DCI vs PCAR

More ITW comparisons

ITW vs XLI
ITW vs SPY
ITW vs IR
ITW vs SNA
ITW vs AOS
ITW vs GGG

DCI vs ITW: returns, Sharpe ratio and drawdown

DCI vs ITW

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