SPXS vs TZA: returns, Sharpe ratio and drawdown
Performance
SPXS-33.24%TZA-31.59%
Summary
SPXS vs TZA
Over the past year, TZA returned -31.59% against -33.24% for SPXS. Over five years, TZA averaged -28.28% a year, compared with -33.46% for SPXS. TZA had the higher Sharpe ratio over the past year (-0.52 vs -1.00), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -47.48% for SPXS and -61.76% for TZA.
Current Drawdown
SPXS-43.96%TZA-45.84%
Rolling Volatility
SPXS+1.91%TZA+2.67%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SPXSTZA
Alpha
SPXS
-10.38%
TZA
4.31%
Beta
SPXS
-2.99x
TZA
-3.50x
Sharpe
SPXS
-1.00
TZA
-0.52
Sortino
SPXS
-1.37
TZA
-0.72
Omega
SPXS
0.85
TZA
0.92
Calmar
SPXS
-0.70
TZA
-0.51
Martin
SPXS
-1.25
TZA
-0.65
Comparisons