AGQ vs ZSL: returns, Sharpe ratio and drawdown
Performance
AGQ-35.76%ZSL-74.43%
Summary
AGQ vs ZSL
Over the past year, AGQ returned -35.76% against -74.43% for ZSL. Over five years, AGQ averaged +9.75% a year, compared with -50.89% for ZSL. AGQ had the higher Sharpe ratio over the past year (0.38 vs -0.51), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -85.97% for AGQ and -89.31% for ZSL.
Current Drawdown
AGQ-85.25%ZSL-78.71%
Rolling Volatility
AGQ+4.86%ZSL+4.94%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AGQZSL
Alpha
AGQ
11.91%
ZSL
-28.30%
Beta
AGQ
3.93x
ZSL
-4.00x
Sharpe
AGQ
0.38
ZSL
-0.51
Sortino
AGQ
0.48
ZSL
-0.81
Omega
AGQ
1.07
ZSL
0.91
Calmar
AGQ
-0.42
ZSL
-0.83
Martin
AGQ
0.76
ZSL
-0.87
Comparisons