VONV vs VTV: returns, Sharpe ratio and drawdown
Performance
VONV+24.72%VTV+19.46%
Summary
VONV vs VTV
Over the past year, VONV returned +24.72% against +19.46% for VTV. Over five years, VTV averaged +9.44% a year, compared with +9.27% for VONV. VONV had the higher Sharpe ratio over the past year (1.67 vs 1.38), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -6.87% for VTV and -7.22% for VONV.
Current Drawdown
VONV-1.39%VTV-1.80%
Rolling Volatility
VONV+0.49%VTV+0.48%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VONVVTV
Alpha
VONV
12.06%
VTV
8.89%
Beta
VONV
0.69x
VTV
0.55x
Sharpe
VONV
1.67
VTV
1.38
Sortino
VONV
2.55
VTV
2.08
Omega
VONV
1.31
VTV
1.25
Calmar
VONV
3.42
VTV
2.83
Martin
VONV
9.83
VTV
6.89
Comparisons