Performance

VO+13.38%IJH+16.09%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
VO	+0.92%	+10.91%	+13.38%	+5.58%	-8.51%	0.72
IJH	+0.55%	+9.74%	+16.09%	+6.04%	-9.04%	0.78

Summary

VO vs IJH

Over the past year, IJH returned +16.09% against +13.38% for VO. Over five years, IJH averaged +6.04% a year, compared with +5.58% for VO. IJH had the higher Sharpe ratio over the past year (0.78 vs 0.72), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.51% for VO and -9.04% for IJH.

Current Drawdown

VO-3.93%IJH-6.66%

Rolling Volatility

VO+0.70%IJH+0.69%

METRICS

Correlation Matrix

	VO	IJH
VO	1.00	0.93
IJH	0.93	1.00

Metrics

Risk Indicators

VOIJH

Alpha

-2.55%

-1.71%

Beta

0.82x

0.95x

Sharpe

0.72

0.78

Sortino

1.04

1.16

Omega

1.12

1.13

Calmar

1.57

1.78

Martin

3.29

3.60

Comparisons

More VO comparisons

VO vs VOO
VO vs VTI
VO vs VB
VO vs IWR
VO vs MDY

More IJH comparisons

IJH vs IWR
IJH vs IJR
IJH vs VOO

VO vs IJH: returns, Sharpe ratio and drawdown

VO vs IJH

More VO comparisons

More IJH comparisons