BIV vs VCIT: returns, Sharpe ratio and drawdown
Performance
BIV-6.79%VCIT-6.59%
Summary
BIV vs VCIT
Over the past year, VCIT returned -6.59% against -6.79% for BIV. Over five years, VCIT averaged -3.58% a year, compared with -3.91% for BIV. VCIT had the higher Sharpe ratio over the past year (-2.43 vs -2.59), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.06% for VCIT and -8.15% for BIV.
Current Drawdown
BIV-7.73%VCIT-7.56%
Rolling Volatility
BIV+0.31%VCIT+0.34%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BIVVCIT
Alpha
BIV
-13.38%
VCIT
-13.65%
Beta
BIV
0.13x
VCIT
0.17x
Sharpe
BIV
-2.59
VCIT
-2.43
Sortino
BIV
-3.09
VCIT
-2.91
Omega
BIV
0.65
VCIT
0.67
Calmar
BIV
-0.83
VCIT
-0.82
Martin
BIV
-3.47
VCIT
-3.54
Comparisons