TTD vs APP: returns, Sharpe ratio and drawdown
Performance
TTD-76.93%APP-51.39%
Summary
TTD vs APP
Over the past year, APP returned -51.39% against -76.93% for TTD. Over five years, APP averaged +24.79% a year, compared with -31.29% for TTD. APP had the higher Sharpe ratio over the past year (-0.70 vs -2.45), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -63.44% for APP and -77.98% for TTD.
Current Drawdown
TTD-77.68%APP-62.24%
Rolling Volatility
TTD+2.19%APP+3.03%
METRICS
Correlation Matrix
Metrics
Risk Indicators
TTDAPP
Alpha
TTD
-148.94%
APP
-81.24%
Beta
TTD
0.87x
APP
2.17x
Sharpe
TTD
-2.45
APP
-0.70
Sortino
TTD
-3.11
APP
-0.91
Omega
TTD
0.65
APP
0.89
Calmar
TTD
-0.99
APP
-0.81
Martin
TTD
-2.48
APP
-1.35
Comparisons