DRI vs TXRH: returns, Sharpe ratio and drawdown
Performance
DRI+15.13%TXRH-5.96%
Summary
DRI vs TXRH
Over the past year, DRI returned +15.13% against -5.96% for TXRH. Over five years, TXRH averaged +13.75% a year, compared with +8.52% for DRI. DRI had the higher Sharpe ratio over the past year (0.49 vs -0.20), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.12% for DRI and -27.13% for TXRH.
Current Drawdown
DRI-4.98%TXRH-21.41%
Rolling Volatility
DRI+1.71%TXRH+1.48%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DRITXRH
Alpha
DRI
11.86%
TXRH
-8.16%
Beta
DRI
0.18x
TXRH
0.22x
Sharpe
DRI
0.49
TXRH
-0.20
Sortino
DRI
0.71
TXRH
-0.31
Omega
DRI
1.08
TXRH
0.97
Calmar
DRI
1.00
TXRH
-0.22
Martin
DRI
1.88
TXRH
-0.53
Comparisons