TIP vs VOO: returns, Sharpe ratio and drawdown
Performance
TIP-5.94%VOO+15.26%
Summary
TIP vs VOO
Over the past year, VOO returned +15.26% against -5.94% for TIP. Over five years, VOO averaged +11.69% a year, compared with -4.07% for TIP. VOO had the higher Sharpe ratio over the past year (0.82 vs -2.58), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.33% for TIP and -9.19% for VOO.
Current Drawdown
TIP-6.84%VOO-0.69%
Rolling Volatility
TIP+0.31%VOO+0.65%
METRICS
Correlation Matrix
Metrics
Risk Indicators
TIPVOO
Alpha
TIP
-11.33%
VOO
-0.03%
Beta
TIP
0.07x
VOO
1.00x
Sharpe
TIP
-2.58
VOO
0.82
Sortino
TIP
-2.96
VOO
1.19
Omega
TIP
0.63
VOO
1.15
Calmar
TIP
-0.81
VOO
1.66
Martin
TIP
-3.60
VOO
4.86
Comparisons