VCIT vs VCSH: returns, Sharpe ratio and drawdown
Performance
VCIT-6.59%VCSH-3.07%
Summary
VCIT vs VCSH
Over the past year, VCSH returned -3.07% against -6.59% for VCIT. Over five years, VCSH averaged -1.20% a year, compared with -3.58% for VCIT. VCIT had the higher Sharpe ratio over the past year (-2.43 vs -3.13), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -3.97% for VCSH and -8.06% for VCIT.
Current Drawdown
VCIT-7.56%VCSH-3.62%
Rolling Volatility
VCIT+0.34%VCSH+0.16%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VCITVCSH
Alpha
VCIT
-13.65%
VCSH
-8.57%
Beta
VCIT
0.17x
VCSH
0.07x
Sharpe
VCIT
-2.43
VCSH
-3.13
Sortino
VCIT
-2.91
VCSH
-3.50
Omega
VCIT
0.67
VCSH
0.58
Calmar
VCIT
-0.82
VCSH
-0.77
Martin
VCIT
-3.54
VCSH
-4.73
Comparisons