Performance

VGT+39.05%VUG+17.30%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
VGT	+0.57%	+35.43%	+39.05%	+19.57%	-16.57%	1.30
VUG	+0.72%	+13.50%	+17.30%	+12.87%	-16.71%	0.74

Summary

VGT vs VUG

Over the past year, VGT returned +39.05% against +17.30% for VUG. Over five years, VGT averaged +19.57% a year, compared with +12.87% for VUG. VGT had the higher Sharpe ratio over the past year (1.30 vs 0.74), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.57% for VGT and -16.71% for VUG.

Current Drawdown

VGT-1.40%VUG-0.72%

Rolling Volatility

VGT+1.04%VUG+0.87%

METRICS

Correlation Matrix

	VGT	VUG
VGT	1.00	0.90
VUG	0.90	1.00

Metrics

Risk Indicators

VGTVUG

Alpha

8.25%

-5.48%

Beta

1.67x

1.33x

Sharpe

1.30

0.74

Sortino

1.93

1.10

Omega

1.24

1.13

Calmar

2.36

1.04

Martin

5.01

2.48

Comparisons

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VUG vs VOO
VUG vs QQQ
VUG vs QQQM
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VUG vs MGK

VGT vs VUG: returns, Sharpe ratio and drawdown

VGT vs VUG

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