VBK vs VBR: returns, Sharpe ratio and drawdown
Performance
VBK+16.98%VBR+16.39%
Summary
VBK vs VBR
Over the past year, VBK returned +16.98% against +16.39% for VBR. Over five years, VBR averaged +5.88% a year, compared with +3.65% for VBK. VBR had the higher Sharpe ratio over the past year (0.84 vs 0.66), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.85% for VBR and -11.54% for VBK.
Current Drawdown
VBK-5.87%VBR-6.85%
Rolling Volatility
VBK+0.78%VBR+0.64%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VBKVBR
Alpha
VBK
-5.71%
VBR
0.74%
Beta
VBK
1.36x
VBR
0.79x
Sharpe
VBK
0.66
VBR
0.84
Sortino
VBK
0.96
VBR
1.27
Omega
VBK
1.11
VBR
1.15
Calmar
VBK
1.47
VBR
1.85
Martin
VBK
3.35
VBR
3.89
Comparisons