NUGT vs DUST: returns, Sharpe ratio and drawdown
Performance
NUGT-13.31%DUST-58.60%
Summary
NUGT vs DUST
Over the past year, NUGT returned -13.31% against -58.60% for DUST. Over five years, NUGT averaged +24.47% a year, compared with -54.92% for DUST. NUGT had the higher Sharpe ratio over the past year (0.33 vs -0.43), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -67.51% for NUGT and -77.17% for DUST.
Current Drawdown
NUGT-53.54%DUST-69.07%
Rolling Volatility
NUGT+4.91%DUST+5.00%
METRICS
Correlation Matrix
Metrics
Risk Indicators
NUGTDUST
Alpha
NUGT
-3.07%
DUST
-7.50%
Beta
NUGT
3.84x
DUST
-3.84x
Sharpe
NUGT
0.33
DUST
-0.43
Sortino
NUGT
0.45
DUST
-0.62
Omega
NUGT
1.06
DUST
0.93
Calmar
NUGT
-0.20
DUST
-0.76
Martin
NUGT
0.82
DUST
-0.76
Comparisons