QLD vs TSLG: returns, Sharpe ratio and drawdown
Performance
QLD+23.89%TSLG-57.36%
Summary
QLD vs TSLG
Over the past year, QLD returned +23.89% against -57.36% for TSLG. QLD had the higher Sharpe ratio over the past year (0.63 vs -0.54), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -25.17% for QLD and -71.86% for TSLG.
Current Drawdown
QLD-12.95%TSLG-62.43%
Rolling Volatility
QLD+2.25%TSLG+3.82%
METRICS
Correlation Matrix
Metrics
Risk Indicators
QLDTSLG
Alpha
QLD
-1.73%
TSLG
-90.02%
Beta
QLD
2.87x
TSLG
4.42x
Sharpe
QLD
0.63
TSLG
-0.54
Sortino
QLD
0.92
TSLG
-0.73
Omega
QLD
1.11
TSLG
0.91
Calmar
QLD
0.95
TSLG
-0.80
Martin
QLD
2.66
TSLG
-1.11
Comparisons