VOT vs VOO: returns, Sharpe ratio and drawdown
Performance
VOT-1.32%VOO+13.68%
Summary
VOT vs VOO
Over the past year, VOO returned +13.68% against -1.32% for VOT. Over five years, VOO averaged +10.77% a year, compared with +2.38% for VOT. VOO had the higher Sharpe ratio over the past year (0.73 vs -0.24), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.19% for VOO and -16.27% for VOT.
Current Drawdown
VOT-8.06%VOO-2.04%
Rolling Volatility
VOT+1.18%VOO+0.65%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VOTVOO
Alpha
VOT
-15.79%
VOO
-0.00%
Beta
VOT
1.24x
VOO
1.00x
Sharpe
VOT
-0.24
VOO
0.73
Sortino
VOT
-0.33
VOO
1.06
Omega
VOT
0.96
VOO
1.13
Calmar
VOT
-0.08
VOO
1.49
Martin
VOT
-0.71
VOO
4.22
Comparisons