DFEV vs AVEM: returns, Sharpe ratio and drawdown
Performance
DFEV+20.85%AVEM+15.16%
Summary
DFEV vs AVEM
Over the past year, DFEV returned +20.85% against +15.16% for AVEM. DFEV had the higher Sharpe ratio over the past year (0.78 vs 0.54), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -14.70% for DFEV and -17.73% for AVEM. Dividends over the past year came to 2.80% of AVEM's price, against 2.28% for DFEV. Their daily returns had a correlation of 0.98 over the past year, which is very high.
Ranking
How DFEV and AVEM rank
DFEVAVEM
Current Drawdown
DFEV-10.98%AVEM-13.87%
Rolling Volatility
DFEV26.04%AVEM28.62%
METRICS
Correlation Matrix
Fees and dividends
What DFEV and AVEM cost and pay
DFEVAVEMExpense ratio0.43%0.33%Yield2.28%2.80%Paid, past year$0.89$2.40PaysQuarterlyQuarterlyGrowth a year-3.6%+10.5%Return with dividends+20.85%1Y+8.88%Return, price only+18.23%1Y+5.73%
DFEV charges 0.43% a year and AVEM 0.33%.
Metrics
Risk Indicators
DFEVAVEM
Alpha
DFEV
5.29%
AVEM
-0.70%
Beta
DFEV
1.29x
AVEM
1.46x
Sharpe
DFEV
0.78
AVEM
0.54
Sortino
DFEV
1.10
AVEM
0.75
Omega
DFEV
1.15
AVEM
1.10
Calmar
DFEV
1.42
AVEM
0.85
Martin
DFEV
3.40
AVEM
2.23
Comparisons