BNDX vs BND: returns, Sharpe ratio and drawdown
Performance
BNDX-5.30%BND-5.77%
Summary
BNDX vs BND
Over the past year, BNDX returned -5.30% against -5.77% for BND. Over five years, BNDX averaged -3.75% a year, compared with -3.82% for BND. BNDX had the higher Sharpe ratio over the past year (-2.30 vs -2.54), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -6.25% for BNDX and -7.04% for BND.
Current Drawdown
BNDX-5.87%BND-6.59%
Rolling Volatility
BNDX+0.22%BND+0.30%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BNDXBND
Alpha
BNDX
-11.92%
BND
-12.18%
Beta
BNDX
0.14x
BND
0.12x
Sharpe
BNDX
-2.30
BND
-2.54
Sortino
BNDX
-2.71
BND
-3.04
Omega
BNDX
0.66
BND
0.66
Calmar
BNDX
-0.85
BND
-0.82
Martin
BNDX
-2.80
BND
-3.68
Comparisons