DE vs SNA: returns, Sharpe ratio and drawdown
Performance
DE+43.04%SNA+8.16%
Summary
DE vs SNA
Over the past year, DE returned +43.04% against +8.16% for SNA. Over five years, DE averaged +14.46% a year, compared with +10.40% for SNA. DE had the higher Sharpe ratio over the past year (1.14 vs 0.28), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -14.41% for SNA and -20.13% for DE.
Current Drawdown
DE-8.02%SNA-14.41%
Rolling Volatility
DE+1.57%SNA+0.73%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DESNA
Alpha
DE
31.68%
SNA
-0.47%
Beta
DE
0.49x
SNA
0.54x
Sharpe
DE
1.14
SNA
0.28
Sortino
DE
1.89
SNA
0.40
Omega
DE
1.22
SNA
1.05
Calmar
DE
2.14
SNA
0.57
Martin
DE
4.35
SNA
1.07
Comparisons