LABU vs TNA: returns, Sharpe ratio and drawdown
Performance
LABU+61.53%TNA+9.72%
Summary
LABU vs TNA
Over the past year, LABU returned +61.53% against +9.72% for TNA. Over five years, TNA averaged -10.85% a year, compared with -28.71% for LABU. LABU had the higher Sharpe ratio over the past year (0.94 vs 0.36), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -32.56% for TNA and -41.78% for LABU.
Current Drawdown
LABU-41.78%TNA-31.67%
Rolling Volatility
LABU+5.79%TNA+2.60%
METRICS
Correlation Matrix
Metrics
Risk Indicators
LABUTNA
Alpha
LABU
50.85%
TNA
-13.20%
Beta
LABU
3.23x
TNA
3.52x
Sharpe
LABU
0.94
TNA
0.36
Sortino
LABU
1.42
TNA
0.52
Omega
LABU
1.16
TNA
1.06
Calmar
LABU
1.47
TNA
0.30
Martin
LABU
5.13
TNA
1.57
Comparisons