SCHZ vs AGG: returns, Sharpe ratio and drawdown
Performance
SCHZ-5.79%AGG-5.69%
Summary
SCHZ vs AGG
Over the past year, AGG returned -5.69% against -5.79% for SCHZ. Over five years, AGG averaged -3.64% a year, compared with -3.86% for SCHZ. AGG had the higher Sharpe ratio over the past year (-2.46 vs -2.52), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.17% for AGG and -7.25% for SCHZ.
Current Drawdown
SCHZ-5.99%AGG-5.94%
Rolling Volatility
SCHZ+0.32%AGG+0.32%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SCHZAGG
Alpha
SCHZ
-11.60%
AGG
-11.59%
Beta
SCHZ
0.12x
AGG
0.14x
Sharpe
SCHZ
-2.52
AGG
-2.46
Sortino
SCHZ
-3.03
AGG
-2.97
Omega
SCHZ
0.66
AGG
0.67
Calmar
SCHZ
-0.80
AGG
-0.79
Martin
SCHZ
-3.45
AGG
-3.42
Comparisons