DTCR vs GRID: returns, Sharpe ratio and drawdown
Performance
DTCR+15.83%GRID+5.68%
Summary
DTCR vs GRID
Over the past year, DTCR returned +15.83% against +5.68% for GRID. Over five years, GRID averaged +11.26% a year, compared with +9.65% for DTCR. DTCR had the higher Sharpe ratio over the past year (0.52 vs 0.17), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.09% for GRID and -22.85% for DTCR. Dividends over the past year came to 0.97% of DTCR's price, against 0.94% for GRID.
Current Drawdown
DTCR-20.94%GRID-17.17%
Rolling Volatility
DTCR+1.71%GRID+1.78%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DTCRGRID
Alpha
DTCR
1.61%
GRID
-8.01%
Beta
DTCR
1.51x
GRID
1.52x
Sharpe
DTCR
0.52
GRID
0.17
Sortino
DTCR
0.73
GRID
0.23
Omega
DTCR
1.09
GRID
1.03
Calmar
DTCR
0.69
GRID
0.31
Martin
DTCR
1.47
GRID
0.60
Comparisons