VTV vs VYM: returns, Sharpe ratio and drawdown
Performance
VTV+18.05%VYM+12.78%
Summary
VTV vs VYM
Over the past year, VTV returned +18.05% against +12.78% for VYM. Over five years, VTV averaged +9.31% a year, compared with +8.12% for VYM. VTV had the higher Sharpe ratio over the past year (1.23 vs 0.79), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -6.87% for VTV and -7.24% for VYM.
Current Drawdown
VTV-3.46%VYM-5.26%
Rolling Volatility
VTV+0.53%VYM+0.58%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VTVVYM
Alpha
VTV
6.72%
VYM
1.85%
Beta
VTV
0.57x
VYM
0.59x
Sharpe
VTV
1.23
VYM
0.79
Sortino
VTV
1.82
VYM
1.15
Omega
VTV
1.22
VYM
1.14
Calmar
VTV
2.63
VYM
1.76
Martin
VTV
6.43
VYM
3.31
Comparisons