AVS vs SOXS: returns, Sharpe ratio and drawdown
Performance
AVS-11.25%SOXS-93.62%
Summary
AVS vs SOXS
Over the past year, AVS returned -11.25% against -93.62% for SOXS. AVS had the higher Sharpe ratio over the past year (-0.13 vs -1.35), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -40.65% for AVS and -96.86% for SOXS.
Current Drawdown
AVS-19.14%SOXS-94.78%
Rolling Volatility
AVS+2.30%SOXS+6.96%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AVSSOXS
Alpha
AVS
13.93%
SOXS
-113.34%
Beta
AVS
-2.15x
SOXS
-7.85x
Sharpe
AVS
-0.13
SOXS
-1.35
Sortino
AVS
-0.19
SOXS
-1.86
Omega
AVS
0.98
SOXS
0.80
Calmar
AVS
-0.28
SOXS
-0.97
Martin
AVS
-0.28
SOXS
-2.49
Comparisons