BIV vs VCIT: returns, Sharpe ratio and drawdown
Performance
BIV-6.57%VCIT-6.80%
Summary
BIV vs VCIT
Over the past year, BIV returned -6.58% against -6.80% for VCIT. Over five years, VCIT averaged -3.53% a year, compared with -3.88% for BIV. VCIT had the higher Sharpe ratio over the past year (-2.49 vs -2.53), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.58% for VCIT and -7.68% for BIV.
Current Drawdown
BIV-7.68%VCIT-7.58%
Rolling Volatility
BIV+0.35%VCIT+0.38%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BIVVCIT
Alpha
BIV
-12.59%
VCIT
-13.22%
Beta
BIV
0.12x
VCIT
0.16x
Sharpe
BIV
-2.53
VCIT
-2.49
Sortino
BIV
-3.03
VCIT
-2.97
Omega
BIV
0.66
VCIT
0.66
Calmar
BIV
-0.86
VCIT
-0.90
Martin
BIV
-3.81
VCIT
-4.08
Comparisons