RPV vs VOO: returns, Sharpe ratio and drawdown
Performance
RPV+22.90%VOO+14.29%
Summary
RPV vs VOO
Over the past year, RPV returned +22.90% against +14.29% for VOO. Over five years, VOO averaged +12.30% a year, compared with +11.51% for RPV. RPV had the higher Sharpe ratio over the past year (1.43 vs 0.77), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.74% for RPV and -8.90% for VOO. Dividends over the past year came to 2.09% of RPV's price, against 1.06% for VOO.
Current Drawdown
RPV-1.37%VOO-1.79%
Rolling Volatility
RPV+0.68%VOO+0.61%
METRICS
Correlation Matrix
Metrics
Risk Indicators
RPVVOO
Alpha
RPV
13.73%
VOO
0.09%
Beta
RPV
0.33x
VOO
0.99x
Sharpe
RPV
1.43
VOO
0.77
Sortino
RPV
2.19
VOO
1.12
Omega
RPV
1.25
VOO
1.13
Calmar
RPV
2.96
VOO
1.61
Martin
RPV
6.85
VOO
4.51
Comparisons