TFI vs VTEB: returns, Sharpe ratio and drawdown
Performance
TFI-5.62%VTEB-5.03%
Summary
TFI vs VTEB
Over the past year, VTEB returned -5.03% against -5.62% for TFI. Over five years, VTEB averaged -2.59% a year, compared with -3.40% for TFI. VTEB had the higher Sharpe ratio over the past year (-2.69 vs -2.75), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.23% for VTEB and -8.80% for TFI.
Current Drawdown
TFI-6.82%VTEB-6.16%
Rolling Volatility
TFI+0.45%VTEB+0.44%
METRICS
Correlation Matrix
Metrics
Risk Indicators
TFIVTEB
Alpha
TFI
-11.20%
VTEB
-10.51%
Beta
TFI
0.10x
VTEB
0.09x
Sharpe
TFI
-2.75
VTEB
-2.69
Sortino
TFI
-3.24
VTEB
-3.18
Omega
TFI
0.60
VTEB
0.61
Calmar
TFI
-0.64
VTEB
-0.61
Martin
TFI
-3.34
VTEB
-3.46
Comparisons