VOOV vs VTI: returns, Sharpe ratio and drawdown
Performance
VOOV+16.96%VTI+12.49%
Summary
VOOV vs VTI
Over the past year, VOOV returned +16.96% against +12.49% for VTI. Over five years, VOOV averaged +11.66% a year, compared with +10.94% for VTI. VOOV had the higher Sharpe ratio over the past year (1.23 vs 0.63), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -6.27% for VOOV and -8.92% for VTI. Dividends over the past year came to 1.62% of VOOV's price, against 1.06% for VTI.
Current Drawdown
VOOV-0.82%VTI-3.07%
Rolling Volatility
VOOV+0.43%VTI+0.73%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VOOVVTI
Alpha
VOOV
7.26%
VTI
0.06%
Beta
VOOV
0.55x
VTI
1.01x
Sharpe
VOOV
1.23
VTI
0.63
Sortino
VOOV
1.80
VTI
0.91
Omega
VOOV
1.22
VTI
1.11
Calmar
VOOV
2.71
VTI
1.40
Martin
VOOV
6.61
VTI
3.79
Comparisons