IDEV vs SCZ: returns, Sharpe ratio and drawdown
Performance
IDEV+9.82%SCZ+8.57%
Summary
IDEV vs SCZ
Over the past year, IDEV returned +9.82% against +8.57% for SCZ. Over five years, IDEV averaged +5.31% a year, compared with +1.85% for SCZ. IDEV had the higher Sharpe ratio over the past year (0.40 vs 0.32), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -11.20% for IDEV and -11.43% for SCZ.
Current Drawdown
IDEV-4.65%SCZ-4.65%
Rolling Volatility
IDEV+0.74%SCZ+0.72%
METRICS
Correlation Matrix
Metrics
Risk Indicators
IDEVSCZ
Alpha
IDEV
-2.71%
SCZ
-3.48%
Beta
IDEV
0.96x
SCZ
0.91x
Sharpe
IDEV
0.40
SCZ
0.32
Sortino
IDEV
0.58
SCZ
0.47
Omega
IDEV
1.07
SCZ
1.06
Calmar
IDEV
0.88
SCZ
0.75
Martin
IDEV
1.95
SCZ
1.43
Comparisons