VXUS vs VT: returns, Sharpe ratio and drawdown
Performance
VXUS+17.53%VT+18.25%
Summary
VXUS vs VT
Over the past year, VT returned +18.25% against +17.53% for VXUS. Over five years, VT averaged +8.70% a year, compared with +5.42% for VXUS. VT had the higher Sharpe ratio over the past year (0.96 vs 0.78), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.89% for VT and -11.37% for VXUS.
Current Drawdown
VXUS-4.06%VT-1.58%
Rolling Volatility
VXUS+0.90%VT+0.71%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VXUSVT
Alpha
VXUS
-2.28%
VT
-1.40%
Beta
VXUS
1.11x
VT
1.05x
Sharpe
VXUS
0.78
VT
0.96
Sortino
VXUS
1.12
VT
1.42
Omega
VXUS
1.14
VT
1.17
Calmar
VXUS
1.54
VT
1.85
Martin
VXUS
4.14
VT
5.43
Comparisons