DFCF vs SPAB: returns, Sharpe ratio and drawdown
Performance
DFCF-6.12%SPAB-5.68%
Summary
DFCF vs SPAB
Over the past year, SPAB returned -5.68% against -6.12% for DFCF. DFCF had the higher Sharpe ratio over the past year (-2.46 vs -2.54), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.30% for SPAB and -7.33% for DFCF.
Current Drawdown
DFCF-6.12%SPAB-6.00%
Rolling Volatility
DFCF+0.34%SPAB+0.32%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DFCFSPAB
Alpha
DFCF
-12.35%
SPAB
-11.47%
Beta
DFCF
0.17x
SPAB
0.12x
Sharpe
DFCF
-2.46
SPAB
-2.54
Sortino
DFCF
-2.97
SPAB
-3.06
Omega
DFCF
0.67
SPAB
0.66
Calmar
DFCF
-0.84
SPAB
-0.78
Martin
DFCF
-3.52
SPAB
-3.36
Comparisons