DOG vs SDS: returns, Sharpe ratio and drawdown
Performance
DOG-9.66%SDS-23.37%
Summary
DOG vs SDS
Over the past year, DOG returned -9.66% against -23.37% for SDS. Over five years, DOG averaged -7.59% a year, compared with -22.39% for SDS. DOG had the higher Sharpe ratio over the past year (-1.09 vs -1.11), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.59% for DOG and -34.48% for SDS.
Current Drawdown
DOG-12.68%SDS-31.55%
Rolling Volatility
DOG+0.55%SDS+1.21%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DOGSDS
Alpha
DOG
-6.27%
SDS
-9.77%
Beta
DOG
-0.83x
SDS
-1.98x
Sharpe
DOG
-1.09
SDS
-1.11
Sortino
DOG
-1.45
SDS
-1.51
Omega
DOG
0.84
SDS
0.83
Calmar
DOG
-0.58
SDS
-0.68
Martin
DOG
-1.46
SDS
-1.30
Comparisons