CHYM vs TOST: returns, Sharpe ratio and drawdown
Performance
CHYM+62.22%TOST-16.06%
Summary
CHYM vs TOST
Over the past year, CHYM returned +62.22% against -16.06% for TOST. CHYM had the higher Sharpe ratio over the past year (1.02 vs -0.24), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -41.14% for CHYM and -42.77% for TOST.
Current Drawdown
CHYM-14.12%TOST-18.96%
Rolling Volatility
CHYM+2.79%TOST+2.48%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CHYMTOST
Alpha
CHYM
44.59%
TOST
-21.22%
Beta
CHYM
2.11x
TOST
1.09x
Sharpe
CHYM
1.02
TOST
-0.24
Sortino
CHYM
1.58
TOST
-0.32
Omega
CHYM
1.18
TOST
0.96
Calmar
CHYM
1.51
TOST
-0.38
Martin
CHYM
3.03
TOST
-0.47
Comparisons