Performance

VTV+18.05%VUG+12.61%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
VTV	+0.65%	+13.91%	+18.05%	+9.31%	-6.87%	1.23
VUG	-1.20%	+12.68%	+12.61%	+12.71%	-16.71%	0.51

Summary

VTV vs VUG

Over the past year, VTV returned +18.05% against +12.61% for VUG. Over five years, VUG averaged +12.71% a year, compared with +9.31% for VTV. VTV had the higher Sharpe ratio over the past year (1.23 vs 0.51), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -6.87% for VTV and -16.71% for VUG.

Current Drawdown

VTV-3.46%VUG-1.44%

Rolling Volatility

VTV+0.53%VUG+0.88%

METRICS

Correlation Matrix

	VTV	VUG
VTV	1.00	0.48
VUG	0.48	1.00

Metrics

Risk Indicators

VTVVUG

Alpha

6.72%

-5.07%

Beta

0.57x

1.32x

Sharpe

1.23

0.51

Sortino

1.82

0.73

Omega

1.22

1.09

Calmar

2.63

0.75

Martin

6.43

1.71

Comparisons

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VTV vs VUG: returns, Sharpe ratio and drawdown

VTV vs VUG

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