OVL vs VOO: returns, Sharpe ratio and drawdown
Performance
OVL+14.11%VOO+12.41%
Summary
OVL vs VOO
Over the past year, OVL returned +14.11% against +12.41% for VOO. Over five years, OVL averaged +12.03% a year, compared with +12.03% for VOO. OVL had the higher Sharpe ratio over the past year (0.66 vs 0.63), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.73% for OVL and -8.90% for VOO. Dividends over the past year came to 9.46% of OVL's price, against 1.07% for VOO.
Current Drawdown
OVL-3.66%VOO-2.99%
Rolling Volatility
OVL+0.88%VOO+0.72%
METRICS
Correlation Matrix
Metrics
Risk Indicators
OVLVOO
Alpha
OVL
0.54%
VOO
0.07%
Beta
OVL
1.17x
VOO
1.00x
Sharpe
OVL
0.66
VOO
0.63
Sortino
OVL
0.94
VOO
0.91
Omega
OVL
1.11
VOO
1.11
Calmar
OVL
1.62
VOO
1.39
Martin
OVL
4.27
VOO
3.79
Comparisons