BSV vs BND: returns, Sharpe ratio and drawdown
Performance
BSV-3.18%BND-5.77%
Summary
BSV vs BND
Over the past year, BSV returned -3.18% against -5.77% for BND. Over five years, BSV averaged -1.32% a year, compared with -3.82% for BND. BND had the higher Sharpe ratio over the past year (-2.54 vs -3.53), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -3.86% for BSV and -7.04% for BND.
Current Drawdown
BSV-3.65%BND-6.59%
Rolling Volatility
BSV+0.13%BND+0.30%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BSVBND
Alpha
BSV
-8.37%
BND
-12.18%
Beta
BSV
0.04x
BND
0.12x
Sharpe
BSV
-3.53
BND
-2.54
Sortino
BSV
-3.90
BND
-3.04
Omega
BSV
0.54
BND
0.66
Calmar
BSV
-0.82
BND
-0.82
Martin
BSV
-4.63
BND
-3.68
Comparisons