GSG vs VOO: returns, Sharpe ratio and drawdown
Performance
GSG+57.61%VOO+15.26%
Summary
GSG vs VOO
Over the past year, GSG returned +57.61% against +15.26% for VOO. Over five years, GSG averaged +15.09% a year, compared with +11.69% for VOO. GSG had the higher Sharpe ratio over the past year (1.75 vs 0.82), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.19% for VOO and -18.81% for GSG.
Current Drawdown
GSG-2.72%VOO-0.69%
Rolling Volatility
GSG+1.27%VOO+0.65%
METRICS
Correlation Matrix
Metrics
Risk Indicators
GSGVOO
Alpha
GSG
50.71%
VOO
-0.03%
Beta
GSG
-0.54x
VOO
1.00x
Sharpe
GSG
1.75
VOO
0.82
Sortino
GSG
2.62
VOO
1.19
Omega
GSG
1.33
VOO
1.15
Calmar
GSG
3.06
VOO
1.66
Martin
GSG
7.35
VOO
4.86
Comparisons