OVL vs QQQI: returns, Sharpe ratio and drawdown
Performance
OVL+14.11%QQQI+7.49%
Summary
OVL vs QQQI
Over the past year, OVL returned +14.11% against +7.49% for QQQI. OVL had the higher Sharpe ratio over the past year (0.66 vs 0.25), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.73% for OVL and -9.61% for QQQI. Dividends over the past year came to 14.77% of QQQI's price, against 9.46% for OVL.
Current Drawdown
OVL-3.66%QQQI-7.74%
Rolling Volatility
OVL+0.88%QQQI+1.26%
METRICS
Correlation Matrix
Metrics
Risk Indicators
OVLQQQI
Alpha
OVL
0.54%
QQQI
-5.76%
Beta
OVL
1.17x
QQQI
1.25x
Sharpe
OVL
0.66
QQQI
0.25
Sortino
OVL
0.94
QQQI
0.34
Omega
OVL
1.11
QQQI
1.04
Calmar
OVL
1.62
QQQI
0.78
Martin
OVL
4.27
QQQI
1.42
Comparisons