MDY vs VO: returns, Sharpe ratio and drawdown
Performance
MDY+10.91%VO+7.58%
Summary
MDY vs VO
Over the past year, MDY returned +11.04% against +7.79% for VO. Over five years, MDY averaged +6.19% a year, compared with +5.55% for VO. MDY had the higher Sharpe ratio over the past year (0.48 vs 0.31), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.51% for VO and -9.05% for MDY.
Current Drawdown
MDY-7.79%VO-6.46%
Rolling Volatility
MDY+0.64%VO+0.64%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MDYVO
Alpha
MDY
-3.05%
VO
-4.93%
Beta
MDY
0.95x
VO
0.82x
Sharpe
MDY
0.48
VO
0.31
Sortino
MDY
0.70
VO
0.43
Omega
MDY
1.08
VO
1.05
Calmar
MDY
1.22
VO
0.92
Martin
MDY
2.46
VO
1.53
Comparisons