XMMO vs VO: returns, Sharpe ratio and drawdown
Performance
XMMO+3.28%VO+10.05%
Summary
XMMO vs VO
Over the past year, VO returned +10.05% against +3.28% for XMMO. Over five years, XMMO averaged +9.04% a year, compared with +5.00% for VO. VO had the higher Sharpe ratio over the past year (0.48 vs 0.06), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.51% for VO and -19.62% for XMMO.
Current Drawdown
XMMO-19.62%VO-4.81%
Rolling Volatility
XMMO+1.05%VO+0.72%
METRICS
Correlation Matrix
Metrics
Risk Indicators
XMMOVO
Alpha
XMMO
-10.82%
VO
-1.63%
Beta
XMMO
1.30x
VO
0.82x
Sharpe
XMMO
0.06
VO
0.48
Sortino
XMMO
0.08
VO
0.69
Omega
XMMO
1.01
VO
1.08
Calmar
XMMO
0.17
VO
1.18
Martin
XMMO
0.19
VO
2.13
Comparisons