BLV vs BIV: returns, Sharpe ratio and drawdown
Performance
BLV-10.78%BIV-6.57%
Summary
BLV vs BIV
Over the past year, BIV returned -6.58% against -10.98% for BLV. Over five years, BIV averaged -3.88% a year, compared with -8.91% for BLV. BLV had the higher Sharpe ratio over the past year (-1.91 vs -2.53), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.68% for BIV and -12.90% for BLV.
Current Drawdown
BLV-12.90%BIV-7.68%
Rolling Volatility
BLV+0.61%BIV+0.35%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BLVBIV
Alpha
BLV
-18.38%
BIV
-12.59%
Beta
BLV
0.23x
BIV
0.12x
Sharpe
BLV
-1.91
BIV
-2.53
Sortino
BLV
-2.37
BIV
-3.03
Omega
BLV
0.73
BIV
0.66
Calmar
BLV
-0.85
BIV
-0.86
Martin
BLV
-2.77
BIV
-3.81
Comparisons