DOCU vs PATH: returns, Sharpe ratio and drawdown
Performance
DOCU+5.62%PATH-19.33%
Summary
DOCU vs PATH
Over the past year, DOCU returned +5.62% against -19.33% for PATH. Over five years, DOCU averaged -23.27% a year, compared with -24.01% for PATH. DOCU had the higher Sharpe ratio over the past year (0.26 vs -0.08), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -42.92% for DOCU and -51.37% for PATH.
Current Drawdown
DOCU-3.70%PATH-33.39%
Rolling Volatility
DOCU+2.35%PATH+2.60%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DOCUPATH
Alpha
DOCU
8.27%
PATH
-15.87%
Beta
DOCU
0.47x
PATH
1.17x
Sharpe
DOCU
0.26
PATH
-0.08
Sortino
DOCU
0.38
PATH
-0.11
Omega
DOCU
1.04
PATH
0.99
Calmar
DOCU
0.13
PATH
-0.38
Martin
DOCU
0.48
PATH
-0.15
Comparisons