AGG vs ICVT: returns, Sharpe ratio and drawdown
Performance
AGG-5.69%ICVT+2.43%
Summary
AGG vs ICVT
Over the past year, ICVT returned +2.43% against -5.69% for AGG. Over five years, ICVT averaged +0.52% a year, compared with -3.64% for AGG. ICVT had the higher Sharpe ratio over the past year (-0.02 vs -2.46), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.17% for AGG and -15.44% for ICVT.
Current Drawdown
AGG-5.94%ICVT-15.44%
Rolling Volatility
AGG+0.32%ICVT+1.06%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AGGICVT
Alpha
AGG
-11.59%
ICVT
-10.78%
Beta
AGG
0.14x
ICVT
1.12x
Sharpe
AGG
-2.46
ICVT
-0.02
Sortino
AGG
-2.97
ICVT
-0.03
Omega
AGG
0.67
ICVT
1.00
Calmar
AGG
-0.79
ICVT
0.16
Martin
AGG
-3.42
ICVT
-0.08
Comparisons