VEA vs VOO: returns, Sharpe ratio and drawdown
Performance
VEA+15.82%VOO+15.26%
Summary
VEA vs VOO
Over the past year, VEA returned +15.82% against +15.26% for VOO. Over five years, VOO averaged +11.69% a year, compared with +6.15% for VEA. VOO had the higher Sharpe ratio over the past year (0.82 vs 0.67), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.19% for VOO and -11.78% for VEA.
Current Drawdown
VEA-5.33%VOO-0.69%
Rolling Volatility
VEA+0.93%VOO+0.65%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VEAVOO
Alpha
VEA
0.23%
VOO
-0.03%
Beta
VEA
1.09x
VOO
1.00x
Sharpe
VEA
0.67
VOO
0.82
Sortino
VEA
0.98
VOO
1.19
Omega
VEA
1.12
VOO
1.15
Calmar
VEA
1.34
VOO
1.66
Martin
VEA
3.63
VOO
4.86
Comparisons