Performance

VONG+2.83%VUG+8.85%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
VONG	-2.23%	+2.96%	+2.83%	+10.37%	-16.43%	-0.01
VUG	-2.06%	+8.51%	+8.85%	+11.00%	-16.71%	0.32

Summary

VONG vs VUG

Over the past year, VUG returned +8.85% against +2.83% for VONG. Over five years, VUG averaged +11.00% a year, compared with +10.37% for VONG. VUG had the higher Sharpe ratio over the past year (0.32 vs -0.01), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.43% for VONG and -16.71% for VUG.

Current Drawdown

VONG-5.98%VUG-5.08%

Rolling Volatility

VONG+1.07%VUG+1.02%

METRICS

Correlation Matrix

	VONG	VUG
VONG	1.00	0.98
VUG	0.98	1.00

Metrics

Risk Indicators

VONGVUG

Alpha

-12.25%

-6.75%

Beta

1.31x

1.34x

Sharpe

-0.01

0.32

Sortino

-0.01

0.46

Omega

1.00

1.05

Calmar

0.17

0.53

Martin

-0.02

1.06

Comparisons

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VONG vs VOO
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VONG vs QQQM

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VUG vs VOO
VUG vs QQQ
VUG vs QQQM
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VUG vs SCHG
VUG vs VOOG

VONG vs VUG: returns, Sharpe ratio and drawdown

VONG vs VUG

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