DFAI vs AVDE: returns, Sharpe ratio and drawdown
Performance
DFAI+12.75%AVDE+13.05%
Summary
DFAI vs AVDE
Over the past year, AVDE returned +13.05% against +12.75% for DFAI. Over five years, AVDE averaged +6.90% a year, compared with +6.87% for DFAI. AVDE had the higher Sharpe ratio over the past year (0.59 vs 0.59), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -10.95% for DFAI and -11.58% for AVDE.
Current Drawdown
DFAI-4.55%AVDE-4.92%
Rolling Volatility
DFAI+0.71%AVDE+0.73%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DFAIAVDE
Alpha
DFAI
0.19%
AVDE
0.26%
Beta
DFAI
0.92x
AVDE
0.95x
Sharpe
DFAI
0.59
AVDE
0.59
Sortino
DFAI
0.85
AVDE
0.85
Omega
DFAI
1.10
AVDE
1.10
Calmar
DFAI
1.16
AVDE
1.13
Martin
DFAI
2.74
AVDE
2.68
Comparisons