Performance

IUSG+14.39%VTI+13.03%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
IUSG	-1.92%	+12.61%	+14.39%	+11.23%	-13.30%	0.60
VTI	-1.15%	+11.23%	+13.03%	+9.63%	-9.20%	0.67

Summary

IUSG vs VTI

Over the past year, IUSG returned +14.39% against +13.03% for VTI. Over five years, IUSG averaged +11.23% a year, compared with +9.63% for VTI. VTI had the higher Sharpe ratio over the past year (0.67 vs 0.60), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.20% for VTI and -13.30% for IUSG.

Current Drawdown

IUSG-4.90%VTI-2.66%

Rolling Volatility

IUSG+0.95%VTI+0.66%

METRICS

Correlation Matrix

	IUSG	VTI
IUSG	1.00	0.95
VTI	0.95	1.00

Metrics

Risk Indicators

IUSGVTI

Alpha

-1.86%

-0.71%

Beta

1.35x

1.02x

Sharpe

0.60

0.67

Sortino

0.87

0.98

Omega

1.10

1.12

Calmar

1.08

1.42

Martin

2.89

3.92

Comparisons

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IUSG vs VTI: returns, Sharpe ratio and drawdown

IUSG vs VTI

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