DFAT vs DFSV: returns, Sharpe ratio and drawdown
Performance
DFAT+20.64%DFSV+23.12%
Summary
DFAT vs DFSV
Over the past year, DFSV returned +23.12% against +20.64% for DFAT. DFSV had the higher Sharpe ratio over the past year (1.19 vs 1.08), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.39% for DFSV and -9.55% for DFAT. Dividends over the past year came to 1.40% of DFSV's price, against 1.34% for DFAT.
Current Drawdown
DFAT-4.32%DFSV-4.25%
Rolling Volatility
DFAT+0.77%DFSV+0.77%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DFATDFSV
Alpha
DFAT
8.78%
DFSV
10.84%
Beta
DFAT
0.68x
DFSV
0.69x
Sharpe
DFAT
1.08
DFSV
1.19
Sortino
DFAT
1.70
DFSV
1.85
Omega
DFAT
1.19
DFSV
1.21
Calmar
DFAT
2.16
DFSV
2.46
Martin
DFAT
4.62
DFSV
5.35
Comparisons