GPIX vs QQQ: returns, Sharpe ratio and drawdown
Performance
GPIX+6.21%QQQ+16.07%
Summary
GPIX vs QQQ
Over the past year, QQQ returned +16.07% against +6.21% for GPIX. QQQ had the higher Sharpe ratio over the past year (0.63 vs 0.20), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.86% for GPIX and -12.19% for QQQ.
Current Drawdown
GPIX-1.89%QQQ-6.56%
Rolling Volatility
GPIX+0.52%QQQ+1.11%
METRICS
Correlation Matrix
Metrics
Risk Indicators
GPIXQQQ
Alpha
GPIX
-5.72%
QQQ
-0.85%
Beta
GPIX
0.85x
QQQ
1.44x
Sharpe
GPIX
0.20
QQQ
0.63
Sortino
GPIX
0.28
QQQ
0.92
Omega
GPIX
1.03
QQQ
1.11
Calmar
GPIX
0.70
QQQ
1.32
Martin
GPIX
0.99
QQQ
3.04
Comparisons