SMCI vs DELL: returns, Sharpe ratio and drawdown
Performance
SMCI-20.82%DELL+289.23%
Summary
SMCI vs DELL
Over the past year, DELL returned +289.23% against -20.82% for SMCI. Over five years, SMCI averaged +64.07% a year, compared with +60.96% for DELL. DELL had the higher Sharpe ratio over the past year (2.14 vs 0.17), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -32.64% for DELL and -62.70% for SMCI.
Current Drawdown
SMCI-23.96%DELL-0.40%
Rolling Volatility
SMCI+4.15%DELL+3.90%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SMCIDELL
Alpha
SMCI
-37.40%
DELL
128.11%
Beta
SMCI
3.74x
DELL
2.23x
Sharpe
SMCI
0.17
DELL
2.14
Sortino
SMCI
0.24
DELL
4.17
Omega
SMCI
1.03
DELL
1.49
Calmar
SMCI
-0.33
DELL
8.86
Martin
SMCI
0.38
DELL
10.66
Comparisons