TCAF vs VTI: returns, Sharpe ratio and drawdown
Performance
TCAF+13.98%VTI+13.65%
Summary
TCAF vs VTI
Over the past year, TCAF returned +13.98% against +13.65% for VTI. TCAF had the higher Sharpe ratio over the past year (0.78 vs 0.73), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.92% for VTI and -10.78% for TCAF. Dividends over the past year came to 1.06% of VTI's price, against 0.44% for TCAF. Their daily returns had a correlation of 0.95 over the past year, which is very high.
Ranking
How TCAF and VTI rank
TCAFVTI
Current Drawdown
TCAF-1.39%VTI-3.24%
Rolling Volatility
TCAF20.62%VTI20.97%
METRICS
Correlation Matrix
Fees and dividends
What TCAF and VTI cost and pay
TCAFVTIExpense ratio0.31%0.03%Yield0.44%1.06%Paid, past year$0.19$3.95PaysYearlyQuarterlyGrowth a year+64.9%+5.7%Return with dividends+13.98%1Y+10.38%Return, price only+13.41%1Y+8.86%
TCAF charges 0.31% a year and VTI 0.03%.
Metrics
Risk Indicators
TCAFVTI
Alpha
TCAF
1.34%
VTI
0.17%
Beta
TCAF
0.91x
VTI
1.01x
Sharpe
TCAF
0.78
VTI
0.73
Sortino
TCAF
1.10
VTI
1.02
Omega
TCAF
1.14
VTI
1.13
Calmar
TCAF
1.30
VTI
1.53
Martin
TCAF
3.85
VTI
4.52
Comparisons