TDY vs TER: returns, Sharpe ratio and drawdown
Performance
TDY+4.92%TER+174.62%
Summary
TDY vs TER
Over the past year, TER returned +174.62% against +4.92% for TDY. Over five years, TER averaged +28.56% a year, compared with +7.11% for TDY. TER had the higher Sharpe ratio over the past year (1.66 vs 0.14), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.95% for TDY and -32.32% for TER.
Current Drawdown
TDY-12.51%TER-15.52%
Rolling Volatility
TDY+0.97%TER+4.37%
METRICS
Correlation Matrix
Metrics
Risk Indicators
TDYTER
Alpha
TDY
-7.58%
TER
93.02%
Beta
TDY
1.04x
TER
3.20x
Sharpe
TDY
0.14
TER
1.66
Sortino
TDY
0.21
TER
2.52
Omega
TDY
1.02
TER
1.33
Calmar
TDY
0.31
TER
5.40
Martin
TDY
0.42
TER
9.33
Comparisons