FELC vs VTI: returns, Sharpe ratio and drawdown
Performance
FELC+14.67%VTI+13.65%
Summary
FELC vs VTI
Over the past year, FELC returned +14.67% against +13.65% for VTI. FELC had the higher Sharpe ratio over the past year (0.81 vs 0.73), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.92% for VTI and -9.09% for FELC. Dividends over the past year came to 1.06% of VTI's price, against 0.85% for FELC. Their daily returns had a correlation of 0.99 over the past year, which is very high.
Ranking
How FELC and VTI rank
FELCVTI
Current Drawdown
FELC-4.00%VTI-3.24%
Rolling Volatility
FELC20.24%VTI20.97%
METRICS
Correlation Matrix
Fees and dividends
What FELC and VTI cost and pay
FELCVTIExpense ratio0.18%0.03%Yield0.85%1.06%Paid, past year$0.36$3.95PaysQuarterlyQuarterlyGrowth a year—+5.7%Return with dividends+14.67%1Y+10.38%Return, price only+13.62%1Y+8.86%
FELC charges 0.18% a year and VTI 0.03%.
Metrics
Risk Indicators
FELCVTI
Alpha
FELC
1.25%
VTI
0.17%
Beta
FELC
0.99x
VTI
1.01x
Sharpe
FELC
0.81
VTI
0.73
Sortino
FELC
1.13
VTI
1.02
Omega
FELC
1.15
VTI
1.13
Calmar
FELC
1.61
VTI
1.53
Martin
FELC
4.87
VTI
4.52
Comparisons