IWB vs VOO: returns, Sharpe ratio and drawdown
Performance
IWB+13.13%VOO+13.68%
Summary
IWB vs VOO
Over the past year, VOO returned +13.68% against +13.13% for IWB. Over five years, VOO averaged +10.77% a year, compared with +10.10% for IWB. VOO had the higher Sharpe ratio over the past year (0.73 vs 0.69), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.08% for IWB and -9.19% for VOO.
Current Drawdown
IWB-2.18%VOO-2.04%
Rolling Volatility
IWB+0.65%VOO+0.65%
METRICS
Correlation Matrix
Metrics
Risk Indicators
IWBVOO
Alpha
IWB
-0.51%
VOO
-0.00%
Beta
IWB
1.00x
VOO
1.00x
Sharpe
IWB
0.69
VOO
0.73
Sortino
IWB
1.00
VOO
1.06
Omega
IWB
1.12
VOO
1.13
Calmar
IWB
1.45
VOO
1.49
Martin
IWB
3.95
VOO
4.22
Comparisons