IXUS vs VTI: returns, Sharpe ratio and drawdown
Performance
IXUS+10.85%VTI+13.03%
Summary
IXUS vs VTI
Over the past year, VTI returned +13.03% against +10.85% for IXUS. Over five years, VTI averaged +9.63% a year, compared with +5.07% for IXUS. VTI had the higher Sharpe ratio over the past year (0.67 vs 0.43), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.20% for VTI and -11.36% for IXUS.
Current Drawdown
IXUS-5.37%VTI-2.66%
Rolling Volatility
IXUS+0.83%VTI+0.66%
METRICS
Correlation Matrix
Metrics
Risk Indicators
IXUSVTI
Alpha
IXUS
-3.03%
VTI
-0.71%
Beta
IXUS
1.13x
VTI
1.02x
Sharpe
IXUS
0.43
VTI
0.67
Sortino
IXUS
0.61
VTI
0.98
Omega
IXUS
1.08
VTI
1.12
Calmar
IXUS
0.96
VTI
1.42
Martin
IXUS
2.20
VTI
3.92
Comparisons