RDVY vs DGRO: returns, Sharpe ratio and drawdown
Performance
RDVY+18.46%DGRO+15.16%
Summary
RDVY vs DGRO
Over the past year, RDVY returned +18.46% against +15.16% for DGRO. Over five years, RDVY averaged +9.74% a year, compared with +8.28% for DGRO. DGRO had the higher Sharpe ratio over the past year (1.08 vs 0.96), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -6.90% for DGRO and -9.27% for RDVY.
Current Drawdown
RDVY-5.38%DGRO-1.46%
Rolling Volatility
RDVY+0.64%DGRO+0.49%
METRICS
Correlation Matrix
Metrics
Risk Indicators
RDVYDGRO
Alpha
RDVY
4.93%
DGRO
6.04%
Beta
RDVY
0.94x
DGRO
0.45x
Sharpe
RDVY
0.96
DGRO
1.08
Sortino
RDVY
1.45
DGRO
1.61
Omega
RDVY
1.16
DGRO
1.19
Calmar
RDVY
1.99
DGRO
2.19
Martin
RDVY
4.81
DGRO
4.59
Comparisons