VO vs IJH: returns, Sharpe ratio and drawdown
Performance
VO+7.58%IJH+11.00%
Summary
VO vs IJH
Over the past year, IJH returned +11.12% against +7.79% for VO. Over five years, IJH averaged +6.22% a year, compared with +5.55% for VO. IJH had the higher Sharpe ratio over the past year (0.48 vs 0.31), 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-6.46%IJH-7.92%
Rolling Volatility
VO+0.64%IJH+0.65%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VOIJH
Alpha
VO
-4.93%
IJH
-3.03%
Beta
VO
0.82x
IJH
0.96x
Sharpe
VO
0.31
IJH
0.48
Sortino
VO
0.43
IJH
0.70
Omega
VO
1.05
IJH
1.08
Calmar
VO
0.92
IJH
1.23
Martin
VO
1.53
IJH
2.46