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TUSD-USD vs. USDC-USD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between TUSD-USD and USDC-USD is 0.24, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.2

Performance

TUSD-USD vs. USDC-USD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in TrueUSD (TUSD-USD) and USDCoin (USDC-USD). The values are adjusted to include any dividend payments, if applicable.

-1.00%0.00%1.00%2.00%3.00%JulyAugustSeptemberOctoberNovemberDecember
0.26%
-0.01%
TUSD-USD
USDC-USD

Key characteristics

Sharpe Ratio

TUSD-USD:

-0.05

USDC-USD:

-0.16

Sortino Ratio

TUSD-USD:

-0.05

USDC-USD:

-0.22

Omega Ratio

TUSD-USD:

0.99

USDC-USD:

0.98

Calmar Ratio

TUSD-USD:

0.00

USDC-USD:

0.00

Martin Ratio

TUSD-USD:

-0.25

USDC-USD:

-0.81

Ulcer Index

TUSD-USD:

0.73%

USDC-USD:

0.05%

Daily Std Dev

TUSD-USD:

5.21%

USDC-USD:

0.23%

Max Drawdown

TUSD-USD:

-11.51%

USDC-USD:

-19.18%

Current Drawdown

TUSD-USD:

-7.90%

USDC-USD:

-3.42%

Returns By Period

In the year-to-date period, TUSD-USD achieves a 0.19% return, which is significantly higher than USDC-USD's -0.02% return.


TUSD-USD

YTD

0.19%

1M

-0.29%

6M

0.24%

1Y

-0.16%

5Y*

-0.06%

10Y*

N/A

USDC-USD

YTD

-0.02%

1M

-0.02%

6M

0.01%

1Y

-0.01%

5Y*

-0.09%

10Y*

N/A

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Risk-Adjusted Performance

TUSD-USD vs. USDC-USD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for TrueUSD (TUSD-USD) and USDCoin (USDC-USD). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for TUSD-USD, currently valued at -0.05, compared to the broader market0.002.004.006.00-0.05-0.16
The chart of Sortino ratio for TUSD-USD, currently valued at -0.04, compared to the broader market-2.000.002.004.00-0.05-0.22
The chart of Omega ratio for TUSD-USD, currently valued at 0.99, compared to the broader market0.801.001.201.401.600.990.98
The chart of Calmar ratio for TUSD-USD, currently valued at 0.00, compared to the broader market1.002.003.004.005.000.00
The chart of Martin ratio for TUSD-USD, currently valued at -0.25, compared to the broader market0.0010.0020.0030.0040.0050.00-0.25-0.81
TUSD-USD
USDC-USD

The current TUSD-USD Sharpe Ratio is -0.05, which is higher than the USDC-USD Sharpe Ratio of -0.16. The chart below compares the historical Sharpe Ratios of TUSD-USD and USDC-USD, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
-0.05
-0.16
TUSD-USD
USDC-USD

Drawdowns

TUSD-USD vs. USDC-USD - Drawdown Comparison

The maximum TUSD-USD drawdown since its inception was -11.51%, smaller than the maximum USDC-USD drawdown of -19.18%. Use the drawdown chart below to compare losses from any high point for TUSD-USD and USDC-USD. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%JulyAugustSeptemberOctoberNovemberDecember
-4.28%
-3.42%
TUSD-USD
USDC-USD

Volatility

TUSD-USD vs. USDC-USD - Volatility Comparison

TrueUSD (TUSD-USD) has a higher volatility of 2.64% compared to USDCoin (USDC-USD) at 0.10%. This indicates that TUSD-USD's price experiences larger fluctuations and is considered to be riskier than USDC-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%0.50%1.00%1.50%2.00%2.50%JulyAugustSeptemberOctoberNovemberDecember
2.64%
0.10%
TUSD-USD
USDC-USD
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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