NVDL vs TQQQ: returns, Sharpe ratio and drawdown
Performance
NVDL+8.30%TQQQ+26.44%
Summary
NVDL vs TQQQ
Over the past year, TQQQ returned +26.44% against +8.30% for NVDL. TQQQ had the higher Sharpe ratio over the past year (0.62 vs 0.42), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -37.17% for TQQQ and -42.23% for NVDL.
Current Drawdown
NVDL-25.66%TQQQ-21.80%
Rolling Volatility
NVDL+3.01%TQQQ+3.37%
METRICS
Correlation Matrix
Metrics
Risk Indicators
NVDLTQQQ
Alpha
NVDL
-4.33%
TQQQ
-3.26%
Beta
NVDL
3.80x
TQQQ
4.29x
Sharpe
NVDL
0.42
TQQQ
0.62
Sortino
NVDL
0.62
TQQQ
0.90
Omega
NVDL
1.07
TQQQ
1.11
Calmar
NVDL
0.20
TQQQ
0.71
Martin
NVDL
1.35
TQQQ
2.43
Comparisons