BLV vs BND: returns, Sharpe ratio and drawdown
Performance
BLV-11.84%BND-5.77%
Summary
BLV vs BND
Over the past year, BND returned -5.77% against -11.84% for BLV. Over five years, BND averaged -3.82% a year, compared with -9.39% for BLV. BLV had the higher Sharpe ratio over the past year (-2.03 vs -2.54), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.04% for BND and -14.12% for BLV.
Current Drawdown
BLV-13.37%BND-6.59%
Rolling Volatility
BLV+0.58%BND+0.30%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BLVBND
Alpha
BLV
-20.48%
BND
-12.18%
Beta
BLV
0.25x
BND
0.12x
Sharpe
BLV
-2.03
BND
-2.54
Sortino
BLV
-2.51
BND
-3.04
Omega
BLV
0.71
BND
0.66
Calmar
BLV
-0.84
BND
-0.82
Martin
BLV
-2.68
BND
-3.68
Comparisons