BHF vs VOYA: returns, Sharpe ratio and drawdown
Performance
BHF+2.47%VOYA+27.32%
Summary
BHF vs VOYA
Over the past year, VOYA returned +27.32% against +2.47% for BHF. Over five years, VOYA averaged +6.19% a year, compared with -1.01% for BHF. VOYA had the higher Sharpe ratio over the past year (0.91 vs 0.13), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.09% for VOYA and -28.28% for BHF.
Current Drawdown
BHF-28.28%VOYA-10.35%
Rolling Volatility
BHF+1.68%VOYA+1.17%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BHFVOYA
Alpha
BHF
4.95%
VOYA
17.07%
Beta
BHF
0.04x
VOYA
0.66x
Sharpe
BHF
0.13
VOYA
0.91
Sortino
BHF
0.35
VOYA
1.28
Omega
BHF
1.05
VOYA
1.16
Calmar
BHF
0.09
VOYA
1.60
Martin
BHF
0.49
VOYA
3.66
Comparisons