VO vs VB: returns, Sharpe ratio and drawdown
Performance
VO+7.58%VB+12.69%
Summary
VO vs VB
Over the past year, VB returned +12.75% against +7.79% for VO. Over five years, VO averaged +5.55% a year, compared with +5.23% for VB. VB had the higher Sharpe ratio over the past year (0.56 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 -9.32% for VB.
Current Drawdown
VO-6.46%VB-7.36%
Rolling Volatility
VO+0.64%VB+0.68%
METRICS
Correlation Matrix