IREX vs TREX: returns, Sharpe ratio and drawdown
Performance
IREX-97.08%TREX+78.16%
Summary
IREX vs TREX
Over the past year, TREX returned +78.16% against -97.08% for IREX. TREX had the higher Sharpe ratio over the past year (1.51 vs -0.57), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.34% for TREX and -97.87% for IREX. Their daily returns had a correlation of 0.17 over the past year, which is low.
Ranking
How IREX and TREX rank
IREXTREX
091
1Y Return Rank—16
5Y Return Rank2192
Sharpe Ratio Rank079
Max Drawdown Rank050
Volatility Rank00
Dividend Yield RankCurrent Drawdown
IREX-97.08%TREX0.00%
Rolling Volatility
IREX274.16%TREX61.33%
METRICS
Correlation Matrix
Fees and dividends
What IREX and TREX cost and pay
IREXTREXExpense ratio1.30%—Yield0.00%0.00%Paid, past yearNoneNonePays——Growth a year——Return with dividends——Return, price only——
Metrics
Risk Indicators
IREXTREX
Alpha
IREX
-197.92%
TREX
48.01%
Beta
IREX
7.53x
TREX
1.50x
Sharpe
IREX
-0.57
TREX
1.51
Sortino
IREX
-0.84
TREX
2.76
Omega
IREX
0.91
TREX
1.29
Calmar
IREX
-0.99
TREX
3.84
Martin
IREX
-1.70
TREX
6.92
Comparisons