DFSV vs VOO: returns, Sharpe ratio and drawdown
Performance
DFSV+23.12%VOO+14.29%
Summary
DFSV vs VOO
Over the past year, DFSV returned +23.12% against +14.29% for VOO. DFSV had the higher Sharpe ratio over the past year (1.19 vs 0.77), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.90% for VOO and -9.39% for DFSV. Dividends over the past year came to 1.40% of DFSV's price, against 1.06% for VOO.
Current Drawdown
DFSV-4.25%VOO-1.79%
Rolling Volatility
DFSV+0.77%VOO+0.61%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DFSVVOO
Alpha
DFSV
10.84%
VOO
0.09%
Beta
DFSV
0.69x
VOO
0.99x
Sharpe
DFSV
1.19
VOO
0.77
Sortino
DFSV
1.85
VOO
1.12
Omega
DFSV
1.21
VOO
1.13
Calmar
DFSV
2.46
VOO
1.61
Martin
DFSV
5.35
VOO
4.51
Comparisons