Performance

VUG+17.30%VOO+19.16%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
VUG	+0.72%	+13.50%	+17.30%	+12.87%	-16.71%	0.74
VOO	+0.61%	+13.89%	+19.16%	+11.82%	-9.19%	1.10

Summary

VUG vs VOO

Over the past year, VOO returned +19.16% against +17.30% for VUG. Over five years, VUG averaged +12.87% a year, compared with +11.82% for VOO. VOO had the higher Sharpe ratio over the past year (1.10 vs 0.74), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.19% for VOO and -16.71% for VUG.

Current Drawdown

VUG-0.72%VOO-0.09%

Rolling Volatility

VUG+0.87%VOO+0.64%

METRICS

Correlation Matrix

	VUG	VOO
VUG	1.00	0.95
VOO	0.95	1.00

Metrics

Risk Indicators

VUGVOO

Alpha

-5.48%

-0.03%

Beta

1.33x

1.00x

Sharpe

0.74

1.10

Sortino

1.10

1.63

Omega

1.13

1.20

Calmar

1.04

2.09

Martin

2.48

6.41

Comparisons

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VUG vs VOO: returns, Sharpe ratio and drawdown

VUG vs VOO

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