VDC vs VOO: returns, Sharpe ratio and drawdown
Performance
VDC+13.12%VOO+14.29%
Summary
VDC vs VOO
Over the past year, VOO returned +14.29% against +13.12% for VDC. Over five years, VOO averaged +12.30% a year, compared with +7.70% for VDC. VOO had the higher Sharpe ratio over the past year (0.77 vs 0.61), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.90% for VOO and -9.38% for VDC. Dividends over the past year came to 2.04% of VDC's price, against 1.06% for VOO.
Current Drawdown
VDC-1.91%VOO-1.79%
Rolling Volatility
VDC+1.13%VOO+0.61%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VDCVOO
Alpha
VDC
9.71%
VOO
0.09%
Beta
VDC
-0.08x
VOO
0.99x
Sharpe
VDC
0.61
VOO
0.77
Sortino
VDC
0.92
VOO
1.12
Omega
VDC
1.10
VOO
1.13
Calmar
VDC
1.40
VOO
1.61
Martin
VDC
1.82
VOO
4.51
Comparisons