Performance

SPAB-5.68%VCRB-6.10%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
SPAB	+0.00%	-4.47%	-5.68%	-3.79%	-7.30%	-2.54
VCRB	-0.03%	-4.73%	-6.10%	—	-7.38%	-2.72

Summary

SPAB vs VCRB

Over the past year, SPAB returned -5.68% against -6.10% for VCRB. SPAB had the higher Sharpe ratio over the past year (-2.54 vs -2.72), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.30% for SPAB and -7.38% for VCRB.

Current Drawdown

SPAB-6.00%VCRB-6.25%

Rolling Volatility

SPAB+0.32%VCRB+0.29%

METRICS

Correlation Matrix

	SPAB	VCRB
SPAB	1.00	0.98
VCRB	0.98	1.00

Metrics

Risk Indicators

SPABVCRB

Alpha

-11.47%

-11.93%

Beta

0.12x

Sharpe

-2.54

-2.72

Sortino

-3.06

-3.24

Omega

0.66

0.64

Calmar

-0.78

-0.83

Martin

-3.36

-3.47

Comparisons

More SPAB comparisons

SPAB vs SGOV
SPAB vs BIV
SPAB vs IUSB
SPAB vs JCPB
SPAB vs BOND

More VCRB comparisons

VCRB vs BND
VCRB vs AGG
VCRB vs VCIT
VCRB vs BIV
VCRB vs VCRM

SPAB vs VCRB: returns, Sharpe ratio and drawdown

SPAB vs VCRB

More SPAB comparisons

More VCRB comparisons