VTES vs VSDM: returns, Sharpe ratio and drawdown
Performance
VTES+1.99%VSDM+2.63%
Summary
VTES vs VSDM
Over the past year, VSDM returned +2.63% against +1.99% for VTES. VSDM had the higher Sharpe ratio over the past year (-0.59 vs -0.96), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -2.77% for VSDM and -2.96% for VTES. Dividends over the past year came to 3.10% of VSDM's price, against 2.66% for VTES. Their daily returns had a correlation of 0.91 over the past year, which is very high.
Ranking
How VTES and VSDM rank
VTESVSDM
Current Drawdown
VTES0.00%VSDM0.00%
Rolling Volatility
VTES2.05%VSDM1.76%
METRICS
Correlation Matrix
Fees and dividends
What VTES and VSDM cost and pay
VTESVSDMExpense ratio0.05%0.12%Yield2.66%3.10%Paid, past year$2.68$2.36PaysMonthlyMonthlyGrowth a year+6.7%—Return with dividends+1.99%1Y+2.63%1YReturn, price only-0.68%1Y-0.50%1Y
VTES charges 0.05% a year and VSDM 0.12%.
Metrics
Risk Indicators
VTESVSDM
Alpha
VTES
-1.99%
VSDM
-1.37%
Beta
VTES
0.03x
VSDM
0.03x
Sharpe
VTES
-0.96
VSDM
-0.59
Sortino
VTES
-1.28
VSDM
-0.77
Omega
VTES
0.83
VSDM
0.89
Calmar
VTES
0.67
VSDM
0.95
Martin
VTES
-1.97
VSDM
-1.48
Comparisons