DFSV vs VIOV: returns, Sharpe ratio and drawdown
Performance
DFSV+28.12%VIOV+22.76%
Summary
DFSV vs VIOV
Over the past year, DFSV returned +28.12% against +22.76% for VIOV. DFSV had the higher Sharpe ratio over the past year (1.46 vs 1.10), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.33% for VIOV and -9.39% for DFSV. Dividends over the past year came to 1.64% of VIOV's price, against 1.38% for DFSV.
Current Drawdown
DFSV-3.10%VIOV-5.06%
Rolling Volatility
DFSV+0.73%VIOV+0.79%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DFSVVIOV
Alpha
DFSV
16.01%
VIOV
10.79%
Beta
DFSV
0.68x
VIOV
0.82x
Sharpe
DFSV
1.46
VIOV
1.10
Sortino
DFSV
2.31
VIOV
1.68
Omega
DFSV
1.27
VIOV
1.19
Calmar
DFSV
2.99
VIOV
2.44
Martin
DFSV
6.63
VIOV
4.71
Comparisons