MDY vs VOO: returns, Sharpe ratio and drawdown
Performance
MDY+10.77%VOO+14.71%
Summary
MDY vs VOO
Over the past year, VOO returned +14.71% against +10.77% for MDY. Over five years, VOO averaged +11.82% a year, compared with +6.17% for MDY. VOO had the higher Sharpe ratio over the past year (0.79 vs 0.46), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.05% for MDY and -9.19% for VOO.
Current Drawdown
MDY-7.91%VOO-1.75%
Rolling Volatility
MDY+0.61%VOO+0.68%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MDYVOO
Alpha
MDY
-2.76%
VOO
0.02%
Beta
MDY
0.95x
VOO
1.00x
Sharpe
MDY
0.46
VOO
0.79
Sortino
MDY
0.67
VOO
1.13
Omega
MDY
1.08
VOO
1.14
Calmar
MDY
1.19
VOO
1.60
Martin
MDY
2.34
VOO
4.64
Comparisons