IWF vs VOO: returns, Sharpe ratio and drawdown
Performance
IWF+11.35%VOO+19.16%
Summary
IWF vs VOO
Over the past year, VOO returned +19.16% against +11.35% for IWF. Over five years, IWF averaged +12.43% a year, compared with +11.82% for VOO. VOO had the higher Sharpe ratio over the past year (1.10 vs 0.45), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.19% for VOO and -16.43% for IWF.
Current Drawdown
IWF-0.99%VOO-0.09%
Rolling Volatility
IWF+0.88%VOO+0.64%
METRICS
Correlation Matrix
Metrics
Risk Indicators
IWFVOO
Alpha
IWF
-10.27%
VOO
-0.03%
Beta
IWF
1.29x
VOO
1.00x
Sharpe
IWF
0.45
VOO
1.10
Sortino
IWF
0.65
VOO
1.63
Omega
IWF
1.08
VOO
1.20
Calmar
IWF
0.69
VOO
2.09
Martin
IWF
1.37
VOO
6.41
Comparisons