VXF vs VTWO: returns, Sharpe ratio and drawdown
Performance
VXF+6.98%VTWO+8.92%
Summary
VXF vs VTWO
Over the past year, VTWO returned +8.92% against +6.98% for VXF. Over five years, VTWO averaged +3.48% a year, compared with +3.35% for VXF. VTWO had the higher Sharpe ratio over the past year (0.32 vs 0.22), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -10.50% for VXF and -11.40% for VTWO.
Current Drawdown
VXF-9.59%VTWO-11.40%
Rolling Volatility
VXF+0.94%VTWO+0.90%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VXFVTWO
Alpha
VXF
-7.17%
VTWO
-5.17%
Beta
VXF
1.18x
VTWO
1.18x
Sharpe
VXF
0.22
VTWO
0.32
Sortino
VXF
0.31
VTWO
0.46
Omega
VXF
1.04
VTWO
1.05
Calmar
VXF
0.66
VTWO
0.78
Martin
VXF
1.01
VTWO
1.40
Comparisons