DT vs SHOP: returns, Sharpe ratio and drawdown
Performance
DT+21.93%SHOP+2.92%
Summary
DT vs SHOP
Over the past year, DT returned +21.93% against +2.92% for SHOP. Over five years, SHOP averaged +2.96% a year, compared with -4.04% for DT. DT had the higher Sharpe ratio over the past year (0.58 vs 0.27), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -36.49% for DT and -46.71% for SHOP.
Current Drawdown
DT-6.34%SHOP-5.41%
Rolling Volatility
DT+1.89%SHOP+3.25%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DTSHOP
Alpha
DT
19.41%
SHOP
-1.46%
Beta
DT
0.57x
SHOP
1.85x
Sharpe
DT
0.58
SHOP
0.27
Sortino
DT
0.84
SHOP
0.38
Omega
DT
1.11
SHOP
1.05
Calmar
DT
0.60
SHOP
0.06
Martin
DT
1.33
SHOP
0.59
Comparisons