KBWB vs VFH: returns, Sharpe ratio and drawdown
Performance
KBWB+14.38%VFH+4.90%
Summary
KBWB vs VFH
Over the past year, KBWB returned +14.38% against +4.90% for VFH. Over five years, VFH averaged +6.26% a year, compared with +4.00% for KBWB. KBWB had the higher Sharpe ratio over the past year (0.56 vs 0.10), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.01% for VFH and -16.38% for KBWB.
Current Drawdown
KBWB-12.95%VFH-5.83%
Rolling Volatility
KBWB+0.94%VFH+0.80%
METRICS
Correlation Matrix
Metrics
Risk Indicators
KBWBVFH
Alpha
KBWB
2.66%
VFH
-4.41%
Beta
KBWB
0.91x
VFH
0.63x
Sharpe
KBWB
0.56
VFH
0.10
Sortino
KBWB
0.78
VFH
0.13
Omega
KBWB
1.10
VFH
1.02
Calmar
KBWB
0.88
VFH
0.33
Martin
KBWB
1.76
VFH
0.23
Comparisons