AAPD vs SDS: returns, Sharpe ratio and drawdown
Performance
AAPD-26.36%SDS-23.37%
Summary
AAPD vs SDS
Over the past year, SDS returned -23.37% against -26.36% for AAPD. SDS had the higher Sharpe ratio over the past year (-1.11 vs -1.35), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -30.80% for AAPD and -34.48% for SDS.
Current Drawdown
AAPD-30.80%SDS-31.55%
Rolling Volatility
AAPD+1.05%SDS+1.21%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AAPDSDS
Alpha
AAPD
-26.84%
SDS
-9.77%
Beta
AAPD
-0.61x
SDS
-1.98x
Sharpe
AAPD
-1.35
SDS
-1.11
Sortino
AAPD
-1.87
SDS
-1.51
Omega
AAPD
0.79
SDS
0.83
Calmar
AAPD
-0.86
SDS
-0.68
Martin
AAPD
-1.97
SDS
-1.30
Comparisons