DFIC vs EWC: returns, Sharpe ratio and drawdown
Performance
DFIC+14.09%EWC+19.44%
Summary
DFIC vs EWC
Over the past year, EWC returned +19.44% against +14.09% for DFIC. EWC had the higher Sharpe ratio over the past year (0.99 vs 0.67), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.51% for EWC and -11.00% for DFIC.
Current Drawdown
DFIC-4.62%EWC-3.29%
Rolling Volatility
DFIC+0.70%EWC+0.95%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DFICEWC
Alpha
DFIC
1.70%
EWC
7.47%
Beta
DFIC
0.89x
EWC
0.76x
Sharpe
DFIC
0.67
EWC
0.99
Sortino
DFIC
0.97
EWC
1.36
Omega
DFIC
1.12
EWC
1.17
Calmar
DFIC
1.28
EWC
2.28
Martin
DFIC
3.06
EWC
5.32
Comparisons