SCMB vs VCRM: returns, Sharpe ratio and drawdown
Performance
SCMB-5.37%VCRM-4.49%
Summary
SCMB vs VCRM
Over the past year, VCRM returned -4.49% against -5.37% for SCMB. VCRM had the higher Sharpe ratio over the past year (-2.40 vs -2.61), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.86% for VCRM and -8.71% for SCMB.
Current Drawdown
SCMB-6.49%VCRM-5.75%
Rolling Volatility
SCMB+0.46%VCRM+0.45%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SCMBVCRM
Alpha
SCMB
-10.76%
VCRM
-10.00%
Beta
SCMB
0.08x
VCRM
0.10x
Sharpe
SCMB
-2.61
VCRM
-2.40
Sortino
SCMB
-3.09
VCRM
-2.89
Omega
SCMB
0.62
VCRM
0.64
Calmar
SCMB
-0.62
VCRM
-0.57
Martin
SCMB
-3.26
VCRM
-3.49
Comparisons