V vs MA: returns, Sharpe ratio and drawdown
Performance
V+12.16%MA+5.68%
Summary
V vs MA
Over the past year, V returned +12.16% against +5.68% for MA. Over five years, V averaged +10.81% a year, compared with +10.63% for MA. V had the higher Sharpe ratio over the past year (0.43 vs 0.16), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.35% for V and -18.75% for MA.
Current Drawdown
V+0.00%MA-1.79%
Rolling Volatility
V+1.18%MA+1.11%
METRICS
Correlation Matrix