Performance

ITB-16.83%VOO+13.68%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
ITB	-0.40%	-11.38%	-16.83%	+3.75%	-26.57%	-0.64
VOO	-1.10%	+11.67%	+13.68%	+10.77%	-9.19%	0.73

Summary

ITB vs VOO

Over the past year, VOO returned +13.68% against -16.83% for ITB. Over five years, VOO averaged +10.77% a year, compared with +3.75% for ITB. VOO had the higher Sharpe ratio over the past year (0.73 vs -0.64), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.19% for VOO and -26.57% for ITB.

Current Drawdown

ITB-23.92%VOO-2.04%

Rolling Volatility

ITB+1.67%VOO+0.65%

METRICS

Correlation Matrix

	ITB	VOO
ITB	1.00	0.44
VOO	0.44	1.00

Metrics

Risk Indicators

ITBVOO

Alpha

-28.44%

-0.00%

Beta

1.03x

1.00x

Sharpe

-0.64

0.73

Sortino

-0.97

1.06

Omega

0.90

1.13

Calmar

-0.63

1.49

Martin

-1.31

4.22

Comparisons

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ITB vs VOO: returns, Sharpe ratio and drawdown

ITB vs VOO

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