VUSB vs VGSH: returns, Sharpe ratio and drawdown
Performance
VUSB-0.86%VGSH-2.10%
Summary
VUSB vs VGSH
Over the past year, VUSB returned -0.86% against -2.10% for VGSH. Over five years, VUSB averaged -0.21% a year, compared with -1.19% for VGSH. VUSB had the higher Sharpe ratio over the past year (-3.86 vs -3.89), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -1.24% for VUSB and -2.61% for VGSH.
Current Drawdown
VUSB-1.02%VGSH-2.22%
Rolling Volatility
VUSB+0.08%VGSH+0.09%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VUSBVGSH
Alpha
VUSB
-5.50%
VGSH
-6.85%
Beta
VUSB
0.01x
VGSH
0.02x
Sharpe
VUSB
-3.86
VGSH
-3.89
Sortino
VUSB
-3.92
VGSH
-4.16
Omega
VUSB
0.38
VGSH
0.49
Calmar
VUSB
-0.69
VGSH
-0.81
Martin
VUSB
-8.91
VGSH
-5.25
Comparisons