BOXX vs BND: returns, Sharpe ratio and drawdown
Performance
BOXX+3.99%BND-5.55%
Summary
BOXX vs BND
Over the past year, BOXX returned +3.99% against -5.55% for BND. BOXX had the higher Sharpe ratio over the past year (-1.54 vs -2.50), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -0.07% for BOXX and -7.04% for BND.
Current Drawdown
BOXX+0.00%BND-5.79%
Rolling Volatility
BOXX+0.02%BND+0.31%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BOXXBND
Alpha
BOXX
-0.56%
BND
-11.37%
Beta
BOXX
0.00x
BND
0.13x
Sharpe
BOXX
-1.54
BND
-2.50
Sortino
BOXX
-2.07
BND
-3.03
Omega
BOXX
0.77
BND
0.66
Calmar
BOXX
57.97
BND
-0.79
Martin
BOXX
-56.38
BND
-3.44
Comparisons