SPLB vs VCIT: returns, Sharpe ratio and drawdown
Performance
SPLB-11.55%VCIT-6.62%
Summary
SPLB vs VCIT
Over the past year, VCIT returned -6.62% against -11.55% for SPLB. Over five years, VCIT averaged -3.42% a year, compared with -8.26% for SPLB. SPLB had the higher Sharpe ratio over the past year (-1.96 vs -2.45), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.06% for VCIT and -14.07% for SPLB.
Current Drawdown
SPLB-12.04%VCIT-6.86%
Rolling Volatility
SPLB+0.61%VCIT+0.34%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SPLBVCIT
Alpha
SPLB
-19.43%
VCIT
-12.89%
Beta
SPLB
0.31x
VCIT
0.17x
Sharpe
SPLB
-1.96
VCIT
-2.45
Sortino
SPLB
-2.46
VCIT
-2.96
Omega
SPLB
0.72
VCIT
0.67
Calmar
SPLB
-0.82
VCIT
-0.82
Martin
SPLB
-2.48
VCIT
-3.38
Comparisons