USMV vs VTV: returns, Sharpe ratio and drawdown
Performance
USMV+5.42%VTV+18.05%
Summary
USMV vs VTV
Over the past year, VTV returned +18.05% against +5.42% for USMV. Over five years, VTV averaged +9.31% a year, compared with +5.74% for USMV. VTV had the higher Sharpe ratio over the past year (1.23 vs 0.14), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -6.84% for USMV and -6.87% for VTV.
Current Drawdown
USMV-1.92%VTV-3.46%
Rolling Volatility
USMV+0.53%VTV+0.53%
METRICS
Correlation Matrix
Metrics
Risk Indicators
USMVVTV
Alpha
USMV
-2.47%
VTV
6.72%
Beta
USMV
0.34x
VTV
0.57x
Sharpe
USMV
0.14
VTV
1.23
Sortino
USMV
0.20
VTV
1.82
Omega
USMV
1.02
VTV
1.22
Calmar
USMV
0.79
VTV
2.63
Martin
USMV
0.53
VTV
6.43
Comparisons