SPXU vs SDS: returns, Sharpe ratio and drawdown
Performance
SPXU-34.11%SDS-23.37%
Summary
SPXU vs SDS
Over the past year, SDS returned -23.37% against -34.11% for SPXU. Over five years, SDS averaged -22.39% a year, compared with -34.44% for SPXU. SPXU had the higher Sharpe ratio over the past year (-1.04 vs -1.11), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -34.48% for SDS and -47.33% for SPXU.
Current Drawdown
SPXU-43.81%SDS-31.55%
Rolling Volatility
SPXU+1.84%SDS+1.21%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SPXUSDS
Alpha
SPXU
-11.70%
SDS
-9.77%
Beta
SPXU
-2.98x
SDS
-1.98x
Sharpe
SPXU
-1.04
SDS
-1.11
Sortino
SPXU
-1.41
SDS
-1.51
Omega
SPXU
0.84
SDS
0.83
Calmar
SPXU
-0.72
SDS
-0.68
Martin
SPXU
-1.29
SDS
-1.30
Comparisons