SLDP vs QS: returns, Sharpe ratio and drawdown
Performance
SLDP-71.87%QS-72.50%
Summary
SLDP vs QS
Over the past year, SLDP returned -71.87% against -72.50% for QS. QS had the higher Sharpe ratio over the past year (-1.66 vs -1.73), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -73.74% for SLDP and -76.56% for QS. Their daily returns had a correlation of 0.71 over the past year, which is high.
Ranking
How SLDP and QS rank
SLDPQS
Current Drawdown
SLDP-73.74%QS-72.50%
Rolling Volatility
SLDP67.10%QS74.23%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SLDPQS
Alpha
SLDP
-135.56%
QS
-139.04%
Beta
SLDP
2.56x
QS
2.87x
Sharpe
SLDP
-1.73
QS
-1.66
Sortino
SLDP
-2.24
QS
-2.21
Omega
SLDP
0.75
QS
0.76
Calmar
SLDP
-0.97
QS
-0.95
Martin
SLDP
-1.94
QS
-1.96
Comparisons