ARKG vs VHT: returns, Sharpe ratio and drawdown
Performance
ARKG+38.99%VHT+20.86%
Summary
ARKG vs VHT
Over the past year, ARKG returned +38.99% against +20.86% for VHT. Over five years, VHT averaged +4.86% a year, compared with -9.12% for ARKG. VHT had the higher Sharpe ratio over the past year (1.02 vs 0.86), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -10.73% for VHT and -27.51% for ARKG.
Current Drawdown
ARKG-17.74%VHT-0.71%
Rolling Volatility
ARKG+3.30%VHT+1.01%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ARKGVHT
Alpha
ARKG
21.36%
VHT
12.78%
Beta
ARKG
1.89x
VHT
0.33x
Sharpe
ARKG
0.86
VHT
1.02
Sortino
ARKG
1.34
VHT
1.66
Omega
ARKG
1.15
VHT
1.18
Calmar
ARKG
1.42
VHT
1.94
Martin
ARKG
3.28
VHT
3.48
Comparisons