TSLL vs UPRO: returns, Sharpe ratio and drawdown
Performance
TSLL-57.39%UPRO+29.53%
Summary
TSLL vs UPRO
Over the past year, UPRO returned +29.53% against -57.39% for TSLL. UPRO had the higher Sharpe ratio over the past year (0.76 vs -0.56), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -26.95% for UPRO and -70.73% for TSLL.
Current Drawdown
TSLL-61.31%UPRO-7.13%
Rolling Volatility
TSLL+3.73%UPRO+1.89%
METRICS
Correlation Matrix
Metrics
Risk Indicators
TSLLUPRO
Alpha
TSLL
-90.46%
UPRO
1.10%
Beta
TSLL
4.38x
UPRO
2.99x
Sharpe
TSLL
-0.56
UPRO
0.76
Sortino
TSLL
-0.75
UPRO
1.11
Omega
TSLL
0.91
UPRO
1.13
Calmar
TSLL
-0.81
UPRO
1.10
Martin
TSLL
-1.17
UPRO
3.96
Comparisons