FNDE vs FNDF: returns, Sharpe ratio and drawdown
Performance
FNDE+15.96%FNDF+22.50%
Summary
FNDE vs FNDF
Over the past year, FNDF returned +22.50% against +15.96% for FNDE. Over five years, FNDF averaged +9.97% a year, compared with +5.62% for FNDE. FNDF had the higher Sharpe ratio over the past year (1.06 vs 0.73), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -10.22% for FNDE and -10.60% for FNDF.
Current Drawdown
FNDE-1.49%FNDF-4.28%
Rolling Volatility
FNDE+0.85%FNDF+0.73%
METRICS
Correlation Matrix
Metrics
Risk Indicators
FNDEFNDF
Alpha
FNDE
3.17%
FNDF
8.54%
Beta
FNDE
0.93x
FNDF
0.95x
Sharpe
FNDE
0.73
FNDF
1.06
Sortino
FNDE
1.02
FNDF
1.52
Omega
FNDE
1.13
FNDF
1.20
Calmar
FNDE
1.56
FNDF
2.12
Martin
FNDE
3.30
FNDF
5.19
Comparisons