SPXL vs TSLG: returns, Sharpe ratio and drawdown
Performance
SPXL+30.44%TSLG-57.36%
Summary
SPXL vs TSLG
Over the past year, SPXL returned +30.44% against -57.36% for TSLG. SPXL had the higher Sharpe ratio over the past year (0.78 vs -0.54), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -26.94% for SPXL and -71.86% for TSLG.
Current Drawdown
SPXL-7.03%TSLG-62.43%
Rolling Volatility
SPXL+1.89%TSLG+3.82%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SPXLTSLG
Alpha
SPXL
1.76%
TSLG
-90.02%
Beta
SPXL
3.00x
TSLG
4.42x
Sharpe
SPXL
0.78
TSLG
-0.54
Sortino
SPXL
1.13
TSLG
-0.73
Omega
SPXL
1.14
TSLG
0.91
Calmar
SPXL
1.13
TSLG
-0.80
Martin
SPXL
4.07
TSLG
-1.11
Comparisons