QID vs TSLQ: returns, Sharpe ratio and drawdown
Performance
QID-30.87%TSLQ-15.86%
Summary
QID vs TSLQ
Over the past year, TSLQ returned -15.86% against -30.87% for QID. TSLQ had the higher Sharpe ratio over the past year (0.21 vs -0.86), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -45.12% for TSLQ and -48.46% for QID.
Current Drawdown
QID-41.00%TSLQ-35.15%
Rolling Volatility
QID+2.22%TSLQ+3.76%
METRICS
Correlation Matrix
Metrics
Risk Indicators
QIDTSLQ
Alpha
QID
-7.23%
TSLQ
60.08%
Beta
QID
-2.88x
TSLQ
-4.44x
Sharpe
QID
-0.86
TSLQ
0.21
Sortino
QID
-1.18
TSLQ
0.30
Omega
QID
0.87
TSLQ
1.03
Calmar
QID
-0.64
TSLQ
-0.35
Martin
QID
-1.15
TSLQ
0.65
Comparisons