MSFU vs SSO: returns, Sharpe ratio and drawdown
Performance
MSFU-19.33%SSO+22.14%
Summary
MSFU vs SSO
Over the past year, SSO returned +22.14% against -19.33% for MSFU. SSO had the higher Sharpe ratio over the past year (0.75 vs -0.07), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.34% for SSO and -64.85% for MSFU.
Current Drawdown
MSFU-26.52%SSO-4.51%
Rolling Volatility
MSFU+2.77%SSO+1.26%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MSFUSSO
Alpha
MSFU
-23.38%
SSO
0.45%
Beta
MSFU
1.99x
SSO
1.99x
Sharpe
MSFU
-0.07
SSO
0.75
Sortino
MSFU
-0.11
SSO
1.09
Omega
MSFU
0.99
SSO
1.13
Calmar
MSFU
-0.30
SSO
1.21
Martin
MSFU
-0.11
SSO
3.99
Comparisons