MSFU vs PTIR: returns, Sharpe ratio and drawdown
Performance
MSFU-19.33%PTIR-35.04%
Summary
MSFU vs PTIR
Over the past year, MSFU returned -19.33% against -35.04% for PTIR. PTIR had the higher Sharpe ratio over the past year (0.17 vs -0.07), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -64.85% for MSFU and -80.41% for PTIR.
Current Drawdown
MSFU-26.52%PTIR-49.73%
Rolling Volatility
MSFU+2.77%PTIR+4.98%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MSFUPTIR
Alpha
MSFU
-23.38%
PTIR
-16.00%
Beta
MSFU
1.99x
PTIR
3.99x
Sharpe
MSFU
-0.07
PTIR
0.17
Sortino
MSFU
-0.11
PTIR
0.28
Omega
MSFU
0.99
PTIR
1.03
Calmar
MSFU
-0.30
PTIR
-0.44
Martin
MSFU
-0.11
PTIR
0.39
Comparisons