Performance

IEF-7.12%BND-5.40%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
IEF	+0.38%	-6.90%	-7.12%	-4.85%	-9.26%	-2.30
BND	+0.31%	-5.16%	-5.40%	-3.82%	-7.04%	-2.43

Summary

IEF vs BND

Over the past year, BND returned -5.40% against -7.12% for IEF. Over five years, BND averaged -3.82% a year, compared with -4.85% for IEF. IEF had the higher Sharpe ratio over the past year (-2.30 vs -2.43), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.04% for BND and -9.26% for IEF.

Current Drawdown

IEF-8.72%BND-6.59%

Rolling Volatility

IEF+0.39%BND+0.32%

METRICS

Correlation Matrix

	IEF	BND
IEF	1.00	0.98
BND	0.98	1.00

Metrics

Risk Indicators

IEFBND

Alpha

-13.05%

-11.24%

Beta

0.11x

Sharpe

-2.30

-2.43

Sortino

-2.81

-2.93

Omega

0.69

0.67

Calmar

-0.77

Martin

-3.12

-3.58

Comparisons

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IEF vs SGOV
IEF vs TLT
IEF vs AGG
IEF vs TIP
IEF vs SHY

More BND comparisons

BND vs SGOV
BND vs BNDX
BND vs SCHD
BND vs BIV
BND vs BLV
BND vs BSV

IEF vs BND: returns, Sharpe ratio and drawdown

IEF vs BND

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