RDVY vs VOO: returns, Sharpe ratio and drawdown
Performance
RDVY+18.46%VOO+13.68%
Summary
RDVY vs VOO
Over the past year, RDVY returned +18.46% against +13.68% for VOO. Over five years, VOO averaged +10.77% a year, compared with +9.74% for RDVY. RDVY had the higher Sharpe ratio over the past year (0.96 vs 0.73), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.19% for VOO and -9.27% for RDVY.
Current Drawdown
RDVY-5.38%VOO-2.04%
Rolling Volatility
RDVY+0.64%VOO+0.65%
METRICS
Correlation Matrix
Metrics
Risk Indicators
RDVYVOO
Alpha
RDVY
4.93%
VOO
-0.00%
Beta
RDVY
0.94x
VOO
1.00x
Sharpe
RDVY
0.96
VOO
0.73
Sortino
RDVY
1.45
VOO
1.06
Omega
RDVY
1.16
VOO
1.13
Calmar
RDVY
1.99
VOO
1.49
Martin
RDVY
4.81
VOO
4.22
Comparisons