METU vs QLD: returns, Sharpe ratio and drawdown
Performance
METU-30.80%QLD+23.89%
Summary
METU vs QLD
Over the past year, QLD returned +23.89% against -30.80% for METU. QLD had the higher Sharpe ratio over the past year (0.63 vs -0.07), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -25.17% for QLD and -59.48% for METU.
Current Drawdown
METU-34.24%QLD-12.95%
Rolling Volatility
METU+6.99%QLD+2.25%
METRICS
Correlation Matrix
Metrics
Risk Indicators
METUQLD
Alpha
METU
-33.72%
QLD
-1.73%
Beta
METU
2.97x
QLD
2.87x
Sharpe
METU
-0.07
QLD
0.63
Sortino
METU
-0.10
QLD
0.92
Omega
METU
0.99
QLD
1.11
Calmar
METU
-0.52
QLD
0.95
Martin
METU
-0.16
QLD
2.66
Comparisons