BNDX vs BND: returns, Sharpe ratio and drawdown
Performance
BNDX-5.30%BND-5.50%
Summary
BNDX vs BND
Over the past year, BNDX returned -5.28% against -5.54% for BND. Over five years, BND averaged -3.73% a year, compared with -3.75% for BNDX. BNDX had the higher Sharpe ratio over the past year (-2.28 vs -2.48), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -6.15% for BNDX and -6.51% for BND.
Current Drawdown
BNDX-6.15%BND-6.51%
Rolling Volatility
BNDX+0.28%BND+0.33%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BNDXBND
Alpha
BNDX
-11.29%
BND
-11.39%
Beta
BNDX
0.13x
BND
0.11x
Sharpe
BNDX
-2.28
BND
-2.48
Sortino
BNDX
-2.70
BND
-2.97
Omega
BNDX
0.66
BND
0.67
Calmar
BNDX
-0.86
BND
-0.85
Martin
BNDX
-2.96
BND
-4.03
Comparisons