SPSM vs VBR: returns, Sharpe ratio and drawdown
Performance
SPSM+13.42%VBR+13.47%
Summary
SPSM vs VBR
Over the past year, VBR returned +13.47% against +13.42% for SPSM. Over five years, VBR averaged +6.01% a year, compared with +3.73% for SPSM. VBR had the higher Sharpe ratio over the past year (0.67 vs 0.60), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.85% for VBR and -9.97% for SPSM.
Current Drawdown
SPSM-9.66%VBR-6.03%
Rolling Volatility
SPSM+0.73%VBR+0.71%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SPSMVBR
Alpha
SPSM
0.79%
VBR
2.04%
Beta
SPSM
0.93x
VBR
0.77x
Sharpe
SPSM
0.60
VBR
0.67
Sortino
SPSM
0.90
VBR
1.00
Omega
SPSM
1.10
VBR
1.11
Calmar
SPSM
1.35
VBR
1.52
Martin
SPSM
2.53
VBR
2.91
Comparisons