DFIV vs FNDF: returns, Sharpe ratio and drawdown
Performance
DFIV+22.38%FNDF+22.50%
Summary
DFIV vs FNDF
Over the past year, FNDF returned +22.50% against +22.38% for DFIV. Over five years, DFIV averaged +10.84% a year, compared with +9.97% for FNDF. DFIV had the higher Sharpe ratio over the past year (1.19 vs 1.06), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.66% for DFIV and -10.60% for FNDF.
Current Drawdown
DFIV-4.40%FNDF-4.28%
Rolling Volatility
DFIV+0.78%FNDF+0.73%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DFIVFNDF
Alpha
DFIV
9.87%
FNDF
8.54%
Beta
DFIV
0.76x
FNDF
0.95x
Sharpe
DFIV
1.19
FNDF
1.06
Sortino
DFIV
1.74
FNDF
1.52
Omega
DFIV
1.22
FNDF
1.20
Calmar
DFIV
2.32
FNDF
2.12
Martin
DFIV
5.70
FNDF
5.19
Comparisons