IWR vs VO: returns, Sharpe ratio and drawdown
Performance
IWR+16.80%VO+13.38%
Summary
IWR vs VO
Over the past year, IWR returned +16.80% against +13.38% for VO. Over five years, IWR averaged +6.14% a year, compared with +5.58% for VO. IWR had the higher Sharpe ratio over the past year (0.90 vs 0.72), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.41% for IWR and -8.51% for VO.
Current Drawdown
IWR-4.35%VO-3.93%
Rolling Volatility
IWR+0.66%VO+0.70%
METRICS
Correlation Matrix
Metrics
Risk Indicators
IWRVO
Alpha
IWR
-0.18%
VO
-2.55%
Beta
IWR
0.87x
VO
0.82x
Sharpe
IWR
0.90
VO
0.72
Sortino
IWR
1.34
VO
1.04
Omega
IWR
1.15
VO
1.12
Calmar
IWR
2.00
VO
1.57
Martin
IWR
4.42
VO
3.29
Comparisons