DCOR vs DFAU: returns, Sharpe ratio and drawdown
Performance
DCOR+16.83%DFAU+14.52%
Summary
DCOR vs DFAU
Over the past year, DCOR returned +16.83% against +14.52% for DFAU. DCOR had the higher Sharpe ratio over the past year (0.98 vs 0.80), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.26% for DCOR and -8.67% for DFAU. Dividends over the past year came to 0.91% of DFAU's price, against 0.91% for DCOR. Their daily returns had a correlation of 0.97 over the past year, which is very high.
Ranking
How DCOR and DFAU rank
DCORDFAU
Current Drawdown
DCOR-2.46%DFAU-2.95%
Rolling Volatility
DCOR18.85%DFAU20.18%
METRICS
Correlation Matrix
Fees and dividends
What DCOR and DFAU cost and pay
DCORDFAUExpense ratio0.14%0.12%Yield0.91%0.91%Paid, past year$0.76$0.47PaysQuarterlyQuarterlyGrowth a year—+5.5%Return with dividends+16.83%1Y+10.96%Return, price only+15.70%1Y+9.63%
DCOR charges 0.14% a year and DFAU 0.12%.
Metrics
Risk Indicators
DCORDFAU
Alpha
DCOR
3.84%
DFAU
1.16%
Beta
DCOR
0.91x
DFAU
0.98x
Sharpe
DCOR
0.98
DFAU
0.80
Sortino
DCOR
1.38
DFAU
1.12
Omega
DCOR
1.18
DFAU
1.14
Calmar
DCOR
2.04
DFAU
1.67
Martin
DCOR
6.06
DFAU
5.01
Comparisons