GDE vs VOO: returns, Sharpe ratio and drawdown
Performance
GDE+2.69%VOO+12.41%
Summary
GDE vs VOO
Over the past year, VOO returned +12.41% against +2.69% for GDE. VOO had the higher Sharpe ratio over the past year (0.63 vs 0.10), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.90% for VOO and -22.66% for GDE. Dividends over the past year came to 17.06% of GDE's price, against 1.07% for VOO.
Current Drawdown
GDE-21.96%VOO-2.99%
Rolling Volatility
GDE+1.72%VOO+0.72%
METRICS
Correlation Matrix
Metrics
Risk Indicators
GDEVOO
Alpha
GDE
-10.23%
VOO
0.07%
Beta
GDE
1.69x
VOO
1.00x
Sharpe
GDE
0.10
VOO
0.63
Sortino
GDE
0.14
VOO
0.91
Omega
GDE
1.02
VOO
1.11
Calmar
GDE
0.12
VOO
1.39
Martin
GDE
0.27
VOO
3.79
Comparisons