LQD vs VCIT: returns, Sharpe ratio and drawdown
Performance
LQD-8.03%VCIT-6.59%
Summary
LQD vs VCIT
Over the past year, VCIT returned -6.59% against -8.03% for LQD. Over five years, VCIT averaged -3.58% a year, compared with -5.14% for LQD. LQD had the higher Sharpe ratio over the past year (-2.22 vs -2.43), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.06% for VCIT and -9.82% for LQD.
Current Drawdown
LQD-9.31%VCIT-7.56%
Rolling Volatility
LQD+0.40%VCIT+0.34%
METRICS
Correlation Matrix
Metrics
Risk Indicators
LQDVCIT
Alpha
LQD
-15.82%
VCIT
-13.65%
Beta
LQD
0.21x
VCIT
0.17x
Sharpe
LQD
-2.22
VCIT
-2.43
Sortino
LQD
-2.70
VCIT
-2.91
Omega
LQD
0.69
VCIT
0.67
Calmar
LQD
-0.82
VCIT
-0.82
Martin
LQD
-3.02
VCIT
-3.54
Comparisons