DUST vs SPXS: returns, Sharpe ratio and drawdown
Performance
DUST-58.60%SPXS-33.24%
Summary
DUST vs SPXS
Over the past year, SPXS returned -33.24% against -58.60% for DUST. Over five years, SPXS averaged -33.46% a year, compared with -54.92% for DUST. DUST had the higher Sharpe ratio over the past year (-0.43 vs -1.00), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -47.48% for SPXS and -77.17% for DUST.
Current Drawdown
DUST-69.07%SPXS-43.96%
Rolling Volatility
DUST+5.00%SPXS+1.91%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DUSTSPXS
Alpha
DUST
-7.50%
SPXS
-10.38%
Beta
DUST
-3.84x
SPXS
-2.99x
Sharpe
DUST
-0.43
SPXS
-1.00
Sortino
DUST
-0.62
SPXS
-1.37
Omega
DUST
0.93
SPXS
0.85
Calmar
DUST
-0.76
SPXS
-0.70
Martin
DUST
-0.76
SPXS
-1.25
Comparisons