IHE vs VHT: returns, Sharpe ratio and drawdown
Performance
IHE+39.34%VHT+23.99%
Summary
IHE vs VHT
Over the past year, IHE returned +39.34% against +23.99% for VHT. Over five years, IHE averaged +12.26% a year, compared with +6.72% for VHT. IHE had the higher Sharpe ratio over the past year (1.64 vs 1.17), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.74% for IHE and -10.40% for VHT. Dividends over the past year came to 1.39% of IHE's price, against 1.39% for VHT.
Current Drawdown
IHE-4.69%VHT-1.06%
Rolling Volatility
IHE+1.43%VHT+1.12%
METRICS
Correlation Matrix
Metrics
Risk Indicators
IHEVHT
Alpha
IHE
27.33%
VHT
15.24%
Beta
IHE
0.33x
VHT
0.32x
Sharpe
IHE
1.64
VHT
1.17
Sortino
IHE
2.70
VHT
1.92
Omega
IHE
1.30
VHT
1.21
Calmar
IHE
4.04
VHT
2.31
Martin
IHE
8.37
VHT
4.18
Comparisons