VIOV vs VBR: returns, Sharpe ratio and drawdown
Performance
VIOV+22.76%VBR+20.75%
Summary
VIOV vs VBR
Over the past year, VIOV returned +22.76% against +20.75% for VBR. Over five years, VBR averaged +8.86% a year, compared with +7.04% for VIOV. VBR had the higher Sharpe ratio over the past year (1.11 vs 1.10), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.85% for VBR and -9.33% for VIOV. Dividends over the past year came to 1.82% of VBR's price, against 1.64% for VIOV.
Current Drawdown
VIOV-5.06%VBR-2.84%
Rolling Volatility
VIOV+0.79%VBR+0.75%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VIOVVBR
Alpha
VIOV
10.79%
VBR
9.47%
Beta
VIOV
0.82x
VBR
0.74x
Sharpe
VIOV
1.10
VBR
1.11
Sortino
VIOV
1.68
VBR
1.71
Omega
VIOV
1.19
VBR
1.20
Calmar
VIOV
2.44
VBR
2.34
Martin
VIOV
4.71
VBR
4.95
Comparisons