ITOT vs VTI: returns, Sharpe ratio and drawdown
Performance
ITOT+18.82%VTI+18.69%
Summary
ITOT vs VTI
Over the past year, ITOT returned +18.82% against +18.69% for VTI. Over five years, ITOT averaged +10.70% a year, compared with +10.64% for VTI. ITOT had the higher Sharpe ratio over the past year (1.06 vs 1.05), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.10% for ITOT and -9.20% for VTI.
Current Drawdown
ITOT-0.61%VTI-0.61%
Rolling Volatility
ITOT+0.63%VTI+0.64%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ITOTVTI
Alpha
ITOT
-0.49%
VTI
-0.64%
Beta
ITOT
1.01x
VTI
1.02x
Sharpe
ITOT
1.06
VTI
1.05
Sortino
ITOT
1.57
VTI
1.55
Omega
ITOT
1.19
VTI
1.19
Calmar
ITOT
2.07
VTI
2.03
Martin
ITOT
6.14
VTI
6.18
Comparisons