SPXU vs TSDD: returns, Sharpe ratio and drawdown
Performance
SPXU-34.11%TSDD-15.28%
Summary
SPXU vs TSDD
Over the past year, TSDD returned -15.28% against -34.11% for SPXU. TSDD had the higher Sharpe ratio over the past year (0.21 vs -1.04), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -44.55% for TSDD and -47.33% for SPXU.
Current Drawdown
SPXU-43.81%TSDD-35.58%
Rolling Volatility
SPXU+1.84%TSDD+3.77%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SPXUTSDD
Alpha
SPXU
-11.70%
TSDD
59.38%
Beta
SPXU
-2.98x
TSDD
-4.39x
Sharpe
SPXU
-1.04
TSDD
0.21
Sortino
SPXU
-1.41
TSDD
0.30
Omega
SPXU
0.84
TSDD
1.03
Calmar
SPXU
-0.72
TSDD
-0.34
Martin
SPXU
-1.29
TSDD
0.65
Comparisons