SMH vs VGT: returns, Sharpe ratio and drawdown
Performance
SMH+85.45%VGT+39.05%
Summary
SMH vs VGT
Over the past year, SMH returned +85.45% against +39.05% for VGT. Over five years, SMH averaged +35.78% a year, compared with +19.57% for VGT. SMH had the higher Sharpe ratio over the past year (1.68 vs 1.30), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.57% for VGT and -24.62% for SMH.
Current Drawdown
SMH-9.80%VGT-1.40%
Rolling Volatility
SMH+1.90%VGT+1.04%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SMHVGT
Alpha
SMH
32.78%
VGT
8.25%
Beta
SMH
2.33x
VGT
1.67x
Sharpe
SMH
1.68
VGT
1.30
Sortino
SMH
2.48
VGT
1.93
Omega
SMH
1.32
VGT
1.24
Calmar
SMH
3.47
VGT
2.36
Martin
SMH
7.65
VGT
5.01
Comparisons