DFLV vs AVLV: returns, Sharpe ratio and drawdown
Performance
DFLV+27.77%AVLV+29.62%
Summary
DFLV vs AVLV
Over the past year, AVLV returned +29.62% against +27.77% for DFLV. DFLV had the higher Sharpe ratio over the past year (1.95 vs 1.89), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -5.48% for DFLV and -6.39% for AVLV. Dividends over the past year came to 1.36% of DFLV's price, against 1.10% for AVLV.
Current Drawdown
DFLV-0.93%AVLV-1.62%
Rolling Volatility
DFLV+0.45%AVLV+0.50%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DFLVAVLV
Alpha
DFLV
14.92%
AVLV
15.06%
Beta
DFLV
0.60x
AVLV
0.74x
Sharpe
DFLV
1.95
AVLV
1.89
Sortino
DFLV
2.97
AVLV
2.93
Omega
DFLV
1.37
AVLV
1.36
Calmar
DFLV
5.07
AVLV
4.64
Martin
DFLV
12.06
AVLV
12.24
Comparisons