AMZD vs SDS: returns, Sharpe ratio and drawdown
Performance
AMZD-20.29%SDS-23.37%
Summary
AMZD vs SDS
Over the past year, AMZD returned -20.29% against -23.37% for SDS. AMZD had the higher Sharpe ratio over the past year (-0.62 vs -1.11), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -33.53% for AMZD and -34.48% for SDS.
Current Drawdown
AMZD-24.92%SDS-31.55%
Rolling Volatility
AMZD+1.47%SDS+1.21%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AMZDSDS
Alpha
AMZD
-7.73%
SDS
-9.77%
Beta
AMZD
-1.46x
SDS
-1.98x
Sharpe
AMZD
-0.62
SDS
-1.11
Sortino
AMZD
-0.77
SDS
-1.51
Omega
AMZD
0.90
SDS
0.83
Calmar
AMZD
-0.61
SDS
-0.68
Martin
AMZD
-1.14
SDS
-1.30
Comparisons