IWD vs IWF: returns, Sharpe ratio and drawdown
Performance
IWD+27.13%IWF+11.35%
Summary
IWD vs IWF
Over the past year, IWD returned +27.13% against +11.35% for IWF. Over five years, IWF averaged +12.43% a year, compared with +9.30% for IWD. IWD had the higher Sharpe ratio over the past year (1.83 vs 0.45), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.14% for IWD and -16.43% for IWF.
Current Drawdown
IWD-2.25%IWF-0.99%
Rolling Volatility
IWD+0.55%IWF+0.88%
METRICS
Correlation Matrix
Metrics
Risk Indicators
IWDIWF
Alpha
IWD
10.55%
IWF
-10.27%
Beta
IWD
0.70x
IWF
1.29x
Sharpe
IWD
1.83
IWF
0.45
Sortino
IWD
2.79
IWF
0.65
Omega
IWD
1.34
IWF
1.08
Calmar
IWD
3.80
IWF
0.69
Martin
IWD
10.80
IWF
1.37
Comparisons