VEA vs IEFA: returns, Sharpe ratio and drawdown
Performance
VEA+18.87%IEFA+12.12%
Summary
VEA vs IEFA
Over the past year, VEA returned +18.87% against +12.12% for IEFA. Over five years, VEA averaged +6.30% a year, compared with +4.90% for IEFA. VEA had the higher Sharpe ratio over the past year (0.82 vs 0.52), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -11.50% for IEFA and -11.78% for VEA.
Current Drawdown
VEA-4.66%IEFA-4.82%
Rolling Volatility
VEA+0.92%IEFA+0.81%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VEAIEFA
Alpha
VEA
-1.03%
IEFA
-5.37%
Beta
VEA
1.11x
IEFA
0.97x
Sharpe
VEA
0.82
IEFA
0.52
Sortino
VEA
1.20
IEFA
0.77
Omega
VEA
1.15
IEFA
1.09
Calmar
VEA
1.60
IEFA
1.05
Martin
VEA
4.41
IEFA
2.59
Comparisons