FNDB vs VTI: returns, Sharpe ratio and drawdown
Performance
FNDB+24.78%VTI+12.49%
Summary
FNDB vs VTI
Over the past year, FNDB returned +24.78% against +12.49% for VTI. Over five years, FNDB averaged +13.12% a year, compared with +10.94% for VTI. FNDB had the higher Sharpe ratio over the past year (1.81 vs 0.63), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -6.29% for FNDB and -8.92% for VTI. Dividends over the past year came to 1.42% of FNDB's price, against 1.06% for VTI.
Current Drawdown
FNDB-0.59%VTI-3.07%
Rolling Volatility
FNDB+0.40%VTI+0.73%
METRICS
Correlation Matrix
Metrics
Risk Indicators
FNDBVTI
Alpha
FNDB
13.14%
VTI
0.06%
Beta
FNDB
0.64x
VTI
1.01x
Sharpe
FNDB
1.81
VTI
0.63
Sortino
FNDB
2.75
VTI
0.91
Omega
FNDB
1.34
VTI
1.11
Calmar
FNDB
3.94
VTI
1.40
Martin
FNDB
10.72
VTI
3.79
Comparisons