VTES vs SGOV: returns, Sharpe ratio and drawdown
Performance
VTES-2.07%SGOV+0.01%
Summary
VTES vs SGOV
Over the past year, SGOV returned +0.01% against -2.07% for VTES. VTES had the higher Sharpe ratio over the past year (-3.62 vs -4.44), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -0.44% for SGOV and -4.45% for VTES.
Current Drawdown
VTES-2.98%SGOV-0.13%
Rolling Volatility
VTES+0.22%SGOV+0.06%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VTESSGOV
Alpha
VTES
-6.96%
SGOV
-4.43%
Beta
VTES
0.04x
SGOV
-0.01x
Sharpe
VTES
-3.62
SGOV
-4.44
Sortino
VTES
-4.11
SGOV
-4.30
Omega
VTES
0.50
SGOV
0.14
Calmar
VTES
-0.47
SGOV
0.02
Martin
VTES
-4.05
SGOV
-21.43
Comparisons