Performance

VBIL+0.16%SGOV+0.01%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
VBIL	+0.04%	+0.27%	+0.16%	—	-0.44%	-4.27
SGOV	+0.04%	+0.18%	+0.01%	+0.11%	-0.44%	-4.44

Summary

VBIL vs SGOV

Over the past year, VBIL returned +0.16% against +0.01% for SGOV. VBIL had the higher Sharpe ratio over the past year (-4.27 vs -4.44), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -0.44% for VBIL and -0.44% for SGOV.

Current Drawdown

VBIL-0.11%SGOV-0.13%

Rolling Volatility

VBIL+0.07%SGOV+0.06%

METRICS

Correlation Matrix

	VBIL	SGOV
VBIL	1.00	0.89
SGOV	0.89	1.00

Metrics

Risk Indicators

VBILSGOV

Alpha

-4.29%

-4.43%

Beta

-0.00x

-0.01x

Sharpe

-4.27

-4.44

Sortino

-4.17

-4.30

Omega

0.20

0.14

Calmar

0.36

0.02

Martin

-24.64

-21.43

Comparisons

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VBIL vs VGSH
VBIL vs BND
VBIL vs BIL
VBIL vs VUSB
VBIL vs TBIL
VBIL vs SCHO

More SGOV comparisons

SGOV vs USFR
SGOV vs BIL
SGOV vs BOXX
SGOV vs GOVT
SGOV vs ICSH
SGOV vs IEF

VBIL vs SGOV: returns, Sharpe ratio and drawdown

VBIL vs SGOV

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