SPDN vs SPXS: returns, Sharpe ratio and drawdown
Performance
SPDN-10.98%SPXS-33.24%
Summary
SPDN vs SPXS
Over the past year, SPDN returned -10.98% against -33.24% for SPXS. Over five years, SPDN averaged -10.35% a year, compared with -33.46% for SPXS. SPXS had the higher Sharpe ratio over the past year (-1.00 vs -1.20), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.87% for SPDN and -47.48% for SPXS.
Current Drawdown
SPDN-16.81%SPXS-43.96%
Rolling Volatility
SPDN+0.73%SPXS+1.91%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SPDNSPXS
Alpha
SPDN
-6.20%
SPXS
-10.38%
Beta
SPDN
-0.99x
SPXS
-2.99x
Sharpe
SPDN
-1.20
SPXS
-1.00
Sortino
SPDN
-1.62
SPXS
-1.37
Omega
SPDN
0.82
SPXS
0.85
Calmar
SPDN
-0.58
SPXS
-0.70
Martin
SPDN
-1.36
SPXS
-1.25
Comparisons