UGL vs GDX: returns, Sharpe ratio and drawdown
Performance
UGL-21.96%GDX+9.15%
Summary
UGL vs GDX
Over the past year, GDX returned +9.15% against -21.96% for UGL. Over five years, UGL averaged +26.37% a year, compared with +22.73% for GDX. GDX had the higher Sharpe ratio over the past year (0.34 vs -0.21), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -38.93% for GDX and -50.02% for UGL.
Current Drawdown
UGL-46.53%GDX-24.28%
Rolling Volatility
UGL+2.55%GDX+2.50%
METRICS
Correlation Matrix
Metrics
Risk Indicators
UGLGDX
Alpha
UGL
-27.02%
GDX
-0.61%
Beta
UGL
1.58x
GDX
1.93x
Sharpe
UGL
-0.21
GDX
0.34
Sortino
UGL
-0.28
GDX
0.47
Omega
UGL
0.96
GDX
1.06
Calmar
UGL
-0.44
GDX
0.23
Martin
UGL
-0.39
GDX
0.86
Comparisons