DOX vs IT: returns, Sharpe ratio and drawdown
Performance
DOX-27.32%IT-14.25%
Summary
DOX vs IT
Over the past year, IT returned -14.25% against -27.32% for DOX. Over five years, DOX averaged -5.09% a year, compared with -9.21% for IT. IT had the higher Sharpe ratio over the past year (-0.07 vs -1.12), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -41.67% for DOX and -51.30% for IT.
Current Drawdown
DOX-29.75%IT-20.46%
Rolling Volatility
DOX+1.23%IT+2.54%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DOXIT
Alpha
DOX
-35.02%
IT
-7.51%
Beta
DOX
0.27x
IT
0.39x
Sharpe
DOX
-1.12
IT
-0.07
Sortino
DOX
-1.45
IT
-0.10
Omega
DOX
0.82
IT
0.99
Calmar
DOX
-0.66
IT
-0.28
Martin
DOX
-1.31
IT
-0.12
Comparisons