IGSB vs SPIB: returns, Sharpe ratio and drawdown
Performance
IGSB-3.24%SPIB-4.58%
Summary
IGSB vs SPIB
Over the past year, IGSB returned -3.24% against -4.58% for SPIB. Over five years, IGSB averaged -1.10% a year, compared with -2.22% for SPIB. SPIB had the higher Sharpe ratio over the past year (-2.81 vs -3.13), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -4.06% for IGSB and -5.66% for SPIB.
Current Drawdown
IGSB-3.44%SPIB-4.81%
Rolling Volatility
IGSB+0.16%SPIB+0.23%
METRICS
Correlation Matrix
Metrics
Risk Indicators
IGSBSPIB
Alpha
IGSB
-8.44%
SPIB
-10.22%
Beta
IGSB
0.07x
SPIB
0.11x
Sharpe
IGSB
-3.13
SPIB
-2.81
Sortino
IGSB
-3.49
SPIB
-3.30
Omega
IGSB
0.57
SPIB
0.63
Calmar
IGSB
-0.80
SPIB
-0.81
Martin
IGSB
-4.44
SPIB
-3.90
Comparisons