LQD vs BND: returns, Sharpe ratio and drawdown
Performance
LQD-8.03%BND-5.77%
Summary
LQD vs BND
Over the past year, BND returned -5.77% against -8.03% for LQD. Over five years, BND averaged -3.82% a year, compared with -5.14% for LQD. LQD had the higher Sharpe ratio over the past year (-2.22 vs -2.54), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.04% for BND and -9.82% for LQD.
Current Drawdown
LQD-9.31%BND-6.59%
Rolling Volatility
LQD+0.40%BND+0.30%
METRICS
Correlation Matrix
Metrics
Risk Indicators
LQDBND
Alpha
LQD
-15.82%
BND
-12.18%
Beta
LQD
0.21x
BND
0.12x
Sharpe
LQD
-2.22
BND
-2.54
Sortino
LQD
-2.70
BND
-3.04
Omega
LQD
0.69
BND
0.66
Calmar
LQD
-0.82
BND
-0.82
Martin
LQD
-3.02
BND
-3.68
Comparisons