Performance

VCIT-6.80%SGOV-0.03%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
VCIT	-0.57%	-6.39%	-6.80%	-3.53%	-7.58%	-2.49
SGOV	+0.01%	+0.26%	-0.03%	+0.13%	-0.44%	-4.40

Summary

VCIT vs SGOV

Over the past year, SGOV returned -0.03% against -6.80% for VCIT. Over five years, SGOV averaged +0.13% a year, compared with -3.53% for VCIT. VCIT had the higher Sharpe ratio over the past year (-2.49 vs -4.40), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -0.44% for SGOV and -7.58% for VCIT.

Current Drawdown

VCIT-7.58%SGOV-0.05%

Rolling Volatility

VCIT+0.38%SGOV+0.06%

METRICS

Correlation Matrix

	VCIT	SGOV
VCIT	1.00	0.32
SGOV	0.32	1.00

Metrics

Risk Indicators

VCITSGOV

Alpha

-13.22%

-4.44%

Beta

0.16x

-0.01x

Sharpe

-2.49

-4.40

Sortino

-2.97

-4.26

Omega

0.66

0.14

Calmar

-0.90

-0.07

Martin

-4.08

-21.49

Comparisons

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VCIT vs BND
VCIT vs VCSH
VCIT vs BIV
VCIT vs LQD
VCIT vs VOO

More SGOV comparisons

SGOV vs BIL
SGOV vs IEF
SGOV vs TLT
SGOV vs VCSH
SGOV vs AGG
SGOV vs BND

VCIT vs SGOV: returns, Sharpe ratio and drawdown

VCIT vs SGOV

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