DECK vs MTN: returns, Sharpe ratio and drawdown
Performance
DECK-14.45%MTN-0.20%
Summary
DECK vs MTN
Over the past year, MTN returned -0.20% against -14.45% for DECK. Over five years, DECK averaged +5.44% a year, compared with -15.31% for MTN. MTN had the higher Sharpe ratio over the past year (0.07 vs -0.24), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -26.42% for MTN and -35.91% for DECK.
Current Drawdown
DECK-29.13%MTN-6.65%
Rolling Volatility
DECK+1.61%MTN+1.84%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DECKMTN
Alpha
DECK
-20.22%
MTN
-2.01%
Beta
DECK
1.04x
MTN
0.49x
Sharpe
DECK
-0.24
MTN
0.07
Sortino
DECK
-0.35
MTN
0.10
Omega
DECK
0.96
MTN
1.01
Calmar
DECK
-0.40
MTN
-0.01
Martin
DECK
-0.59
MTN
0.17
Comparisons