Performance

TSPY+11.01%TDAQ+10.14%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe	Div. Yield
TSPY	-1.77%	+9.92%	+11.01%	—	-9.63%	0.54	14.31%
TDAQ	-3.80%	+10.92%	+10.14%	—	-11.72%	0.36	17.97%

Summary

TSPY vs TDAQ

Over the past year, TSPY returned +11.01% against +10.14% for TDAQ. TSPY had the higher Sharpe ratio over the past year (0.54 vs 0.36), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.63% for TSPY and -11.72% for TDAQ. Dividends over the past year came to 17.97% of TDAQ's price, against 14.31% for TSPY.

Current Drawdown

TSPY-2.69%TDAQ-9.18%

Rolling Volatility

TSPY+0.72%TDAQ+1.42%

METRICS

Correlation Matrix

	TSPY	TDAQ
TSPY	1.00	0.88
TDAQ	0.88	1.00

Metrics

Risk Indicators

TSPYTDAQ

Alpha

-0.87%

-3.95%

Beta

0.95x

1.39x

Sharpe

0.54

0.36

Sortino

0.78

0.50

Omega

1.09

1.06

Calmar

1.14

0.87

Martin

2.92

1.75

Comparisons

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TSPY vs TDAQ: returns, Sharpe ratio and drawdown

TSPY vs TDAQ

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