VOOV vs VOOG: returns, Sharpe ratio and drawdown
Performance
VOOV+16.96%VOOG+8.60%
Summary
VOOV vs VOOG
Over the past year, VOOV returned +16.96% against +8.60% for VOOG. Over five years, VOOV averaged +11.66% a year, compared with +11.56% for VOOG. VOOV had the higher Sharpe ratio over the past year (1.23 vs 0.30), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -6.27% for VOOV and -13.39% for VOOG. Dividends over the past year came to 1.62% of VOOV's price, against 0.48% for VOOG.
Current Drawdown
VOOV-0.82%VOOG-7.97%
Rolling Volatility
VOOV+0.43%VOOG+1.21%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VOOVVOOG
Alpha
VOOV
7.26%
VOOG
-5.62%
Beta
VOOV
0.55x
VOOG
1.38x
Sharpe
VOOV
1.23
VOOG
0.30
Sortino
VOOV
1.80
VOOG
0.42
Omega
VOOV
1.22
VOOG
1.05
Calmar
VOOV
2.71
VOOG
0.64
Martin
VOOV
6.61
VOOG
1.44
Comparisons