DFIC vs VEA: returns, Sharpe ratio and drawdown
Performance
DFIC+14.09%VEA+13.47%
Summary
DFIC vs VEA
Over the past year, DFIC returned +14.09% against +13.47% for VEA. DFIC had the higher Sharpe ratio over the past year (0.67 vs 0.56), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -11.00% for DFIC and -11.78% for VEA.
Current Drawdown
DFIC-4.62%VEA-5.83%
Rolling Volatility
DFIC+0.70%VEA+0.83%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DFICVEA
Alpha
DFIC
1.70%
VEA
-0.54%
Beta
DFIC
0.89x
VEA
1.12x
Sharpe
DFIC
0.67
VEA
0.56
Sortino
DFIC
0.97
VEA
0.81
Omega
DFIC
1.12
VEA
1.10
Calmar
DFIC
1.28
VEA
1.14
Martin
DFIC
3.06
VEA
2.90
Comparisons