Vanguard Russell 2000 Index Fund ETF (VTWO)

89.54 -0.52 (-0.57%) USD  |  NASDAQ  |  Dec 23, 16:00
89.50 -0.04 (-0.04%) After-Hours: 20:00
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VTWO Max Drawdown (5Y): 41.18% for Nov. 30, 2024

Max Drawdown (5Y) Chart

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Sep '18
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Historical Data

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Max Drawdown Definition

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Max drawdown is an indicator of the risk of a portfolio chosen based on a certain strategy. It measures the largest single drop from peak to bottom in the value of a portfolio before a new peak is achieved.

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Max Drawdown (5Y) Range, Past 5 Years

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Max Drawdown (5Y) Benchmarks

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iShares Russell 2000 ETF 41.13%
iShares Core S&P Small-Cap ETF 44.35%
Invesco S&P SmallCap Momentum ETF 39.39%
Direxion Daily Small Cap Bull 3x Shares 88.09%
Vanguard Small-Cap Index Fund ETF 42.05%

Max Drawdown (5Y) Related Metrics

Alpha (5Y) -7.834
Beta (5Y) 1.154
Alpha (vs YCharts Benchmark) (5Y) 0.0698
Beta (vs YCharts Benchmark) (5Y) 1.003
Annualized Standard Deviation of Monthly Returns (5Y Lookback) 25.95%
Historical Sharpe Ratio (5Y) 0.2919
Historical Sortino (5Y) 0.3627
Monthly Value at Risk (VaR) 5% (5Y Lookback) 9.86%