VT vs VTI: returns, Sharpe ratio and drawdown
Performance
VT+18.25%VTI+18.69%
Summary
VT vs VTI
Over the past year, VTI returned +18.69% against +18.25% for VT. Over five years, VTI averaged +10.64% a year, compared with +8.70% for VT. VTI had the higher Sharpe ratio over the past year (1.05 vs 0.96), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.20% for VTI and -9.89% for VT.
Current Drawdown
VT-1.58%VTI-0.61%
Rolling Volatility
VT+0.71%VTI+0.64%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VTVTI
Alpha
VT
-1.40%
VTI
-0.64%
Beta
VT
1.05x
VTI
1.02x
Sharpe
VT
0.96
VTI
1.05
Sortino
VT
1.42
VTI
1.55
Omega
VT
1.17
VTI
1.19
Calmar
VT
1.85
VTI
2.03
Martin
VT
5.43
VTI
6.18
Comparisons