PDBC vs DBC: returns, Sharpe ratio and drawdown
Performance
PDBC+50.98%DBC+51.03%
Summary
PDBC vs DBC
Over the past year, DBC returned +51.03% against +50.98% for PDBC. Over five years, DBC averaged +9.65% a year, compared with -1.91% for PDBC. DBC had the higher Sharpe ratio over the past year (1.90 vs 1.89), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.54% for DBC and -16.55% for PDBC.
Current Drawdown
PDBC+0.00%DBC+0.00%
Rolling Volatility
PDBC+0.97%DBC+0.94%
METRICS
Correlation Matrix
Metrics
Risk Indicators
PDBCDBC
Alpha
PDBC
43.13%
DBC
43.10%
Beta
PDBC
-0.40x
DBC
-0.40x
Sharpe
PDBC
1.89
DBC
1.90
Sortino
PDBC
2.81
DBC
2.83
Omega
PDBC
1.35
DBC
1.35
Calmar
PDBC
3.08
DBC
3.09
Martin
PDBC
7.42
DBC
7.42
Comparisons