SPMO vs VGT: returns, Sharpe ratio and drawdown
Performance
SPMO+16.21%VGT+24.73%
Summary
SPMO vs VGT
Over the past year, VGT returned +24.73% against +16.21% for SPMO. Over five years, VGT averaged +17.09% a year, compared with +16.90% for SPMO. VGT had the higher Sharpe ratio over the past year (0.84 vs 0.55), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.64% for SPMO and -16.57% for VGT.
Current Drawdown
SPMO-12.85%VGT-8.45%
Rolling Volatility
SPMO+1.07%VGT+1.27%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SPMOVGT
Alpha
SPMO
-0.39%
VGT
5.10%
Beta
SPMO
1.53x
VGT
1.71x
Sharpe
SPMO
0.55
VGT
0.84
Sortino
SPMO
0.80
VGT
1.23
Omega
SPMO
1.10
VGT
1.15
Calmar
SPMO
1.04
VGT
1.49
Martin
SPMO
2.42
VGT
3.27
Comparisons