VTES vs MTG: returns, Sharpe ratio and drawdown
Performance
VTES-2.07%MTG+2.88%
Summary
VTES vs MTG
Over the past year, MTG returned +2.88% against -2.07% for VTES. MTG had the higher Sharpe ratio over the past year (0.06 vs -3.62), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -4.45% for VTES and -17.89% for MTG.
Current Drawdown
VTES-2.98%MTG-11.50%
Rolling Volatility
VTES+0.22%MTG+2.23%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VTESMTG
Alpha
VTES
-6.96%
MTG
0.39%
Beta
VTES
0.04x
MTG
0.12x
Sharpe
VTES
-3.62
MTG
0.06
Sortino
VTES
-4.11
MTG
0.08
Omega
VTES
0.50
MTG
1.01
Calmar
VTES
-0.47
MTG
0.16
Martin
VTES
-4.05
MTG
0.17
Comparisons