LABD vs SPXU: returns, Sharpe ratio and drawdown
Performance
LABD-70.40%SPXU-34.11%
Summary
LABD vs SPXU
Over the past year, SPXU returned -34.11% against -70.40% for LABD. Over five years, SPXU averaged -34.44% a year, compared with -47.17% for LABD. SPXU had the higher Sharpe ratio over the past year (-1.04 vs -1.04), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -47.33% for SPXU and -81.93% for LABD.
Current Drawdown
LABD-72.56%SPXU-43.81%
Rolling Volatility
LABD+5.85%SPXU+1.84%
METRICS
Correlation Matrix
Metrics
Risk Indicators
LABDSPXU
Alpha
LABD
-59.86%
SPXU
-11.70%
Beta
LABD
-3.22x
SPXU
-2.98x
Sharpe
LABD
-1.04
SPXU
-1.04
Sortino
LABD
-1.38
SPXU
-1.41
Omega
LABD
0.84
SPXU
0.84
Calmar
LABD
-0.86
SPXU
-0.72
Martin
LABD
-1.58
SPXU
-1.29
Comparisons