VT vs VOO: returns, Sharpe ratio and drawdown
Performance
VT+18.25%VOO+19.16%
Summary
VT vs VOO
Over the past year, VOO returned +19.16% against +18.25% for VT. Over five years, VOO averaged +11.82% a year, compared with +8.70% for VT. VOO had the higher Sharpe ratio over the past year (1.10 vs 0.96), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.19% for VOO and -9.89% for VT.
Current Drawdown
VT-1.58%VOO-0.09%
Rolling Volatility
VT+0.71%VOO+0.64%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VTVOO
Alpha
VT
-1.40%
VOO
-0.03%
Beta
VT
1.05x
VOO
1.00x
Sharpe
VT
0.96
VOO
1.10
Sortino
VT
1.42
VOO
1.63
Omega
VT
1.17
VOO
1.20
Calmar
VT
1.85
VOO
2.09
Martin
VT
5.43
VOO
6.41
Comparisons