DGRW vs VOO: returns, Sharpe ratio and drawdown
Performance
DGRW+10.79%VOO+13.68%
Summary
DGRW vs VOO
Over the past year, VOO returned +13.68% against +10.79% for DGRW. Over five years, VOO averaged +10.77% a year, compared with +9.74% for DGRW. VOO had the higher Sharpe ratio over the past year (0.73 vs 0.62), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.53% for DGRW and -9.19% for VOO.
Current Drawdown
DGRW-1.46%VOO-2.04%
Rolling Volatility
DGRW+0.49%VOO+0.65%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DGRWVOO
Alpha
DGRW
-0.65%
VOO
-0.00%
Beta
DGRW
0.76x
VOO
1.00x
Sharpe
DGRW
0.62
VOO
0.73
Sortino
DGRW
0.89
VOO
1.06
Omega
DGRW
1.11
VOO
1.13
Calmar
DGRW
1.26
VOO
1.49
Martin
DGRW
2.89
VOO
4.22
Comparisons