BIV vs BND: returns, Sharpe ratio and drawdown
Performance
BIV-6.79%BND-5.77%
Summary
BIV vs BND
Over the past year, BND returned -5.77% against -6.79% for BIV. Over five years, BND averaged -3.82% a year, compared with -3.91% for BIV. BND had the higher Sharpe ratio over the past year (-2.54 vs -2.59), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.04% for BND and -8.15% for BIV.
Current Drawdown
BIV-7.73%BND-6.59%
Rolling Volatility
BIV+0.31%BND+0.30%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BIVBND
Alpha
BIV
-13.38%
BND
-12.18%
Beta
BIV
0.13x
BND
0.12x
Sharpe
BIV
-2.59
BND
-2.54
Sortino
BIV
-3.09
BND
-3.04
Omega
BIV
0.65
BND
0.66
Calmar
BIV
-0.83
BND
-0.82
Martin
BIV
-3.47
BND
-3.68
Comparisons