Performance

IEF-7.75%SGOV+0.00%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
IEF	-0.06%	-6.95%	-7.75%	-4.86%	-9.26%	-2.46
SGOV	+0.04%	+0.10%	+0.00%	+0.10%	-0.44%	-4.45

Summary

IEF vs SGOV

Over the past year, SGOV returned +0.00% against -7.75% for IEF. Over five years, SGOV averaged +0.10% a year, compared with -4.86% for IEF. IEF had the higher Sharpe ratio over the past year (-2.46 vs -4.45), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -0.44% for SGOV and -9.26% for IEF.

Current Drawdown

IEF-8.77%SGOV-0.21%

Rolling Volatility

IEF+0.36%SGOV+0.06%

METRICS

Correlation Matrix

	IEF	SGOV
IEF	1.00	0.32
SGOV	0.32	1.00

Metrics

Risk Indicators

IEFSGOV

Alpha

-14.34%

-4.40%

Beta

0.13x

-0.01x

Sharpe

-2.46

-4.45

Sortino

-2.98

-4.31

Omega

0.67

0.14

Calmar

-0.84

0.00

Martin

-3.27

-21.63

Comparisons

More IEF comparisons

IEF vs TLT
IEF vs BND
IEF vs AGG
IEF vs TIP
IEF vs SHY

More SGOV comparisons

SGOV vs BIL
SGOV vs TLT
SGOV vs VCSH
SGOV vs AGG
SGOV vs BND
SGOV vs MUB

IEF vs SGOV: returns, Sharpe ratio and drawdown

IEF vs SGOV

More IEF comparisons

More SGOV comparisons