CIBR vs VOO: returns, Sharpe ratio and drawdown
Performance
CIBR+29.18%VOO+13.68%
Summary
CIBR vs VOO
Over the past year, CIBR returned +29.18% against +13.68% for VOO. Over five years, CIBR averaged +12.93% a year, compared with +10.77% for VOO. CIBR had the higher Sharpe ratio over the past year (0.87 vs 0.73), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.19% for VOO and -22.21% for CIBR.
Current Drawdown
CIBR-10.16%VOO-2.04%
Rolling Volatility
CIBR+1.97%VOO+0.65%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CIBRVOO
Alpha
CIBR
15.09%
VOO
-0.00%
Beta
CIBR
1.15x
VOO
1.00x
Sharpe
CIBR
0.87
VOO
0.73
Sortino
CIBR
1.32
VOO
1.06
Omega
CIBR
1.16
VOO
1.13
Calmar
CIBR
1.31
VOO
1.49
Martin
CIBR
2.63
VOO
4.22
Comparisons