VCLT vs BND: returns, Sharpe ratio and drawdown
Performance
VCLT-11.40%BND-5.55%
Summary
VCLT vs BND
Over the past year, BND returned -5.55% against -11.40% for VCLT. Over five years, BND averaged -3.69% a year, compared with -8.26% for VCLT. VCLT had the higher Sharpe ratio over the past year (-1.95 vs -2.50), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.04% for BND and -14.00% for VCLT.
Current Drawdown
VCLT-11.89%BND-5.79%
Rolling Volatility
VCLT+0.62%BND+0.31%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VCLTBND
Alpha
VCLT
-19.23%
BND
-11.37%
Beta
VCLT
0.31x
BND
0.13x
Sharpe
VCLT
-1.95
BND
-2.50
Sortino
VCLT
-2.45
BND
-3.03
Omega
VCLT
0.72
BND
0.66
Calmar
VCLT
-0.81
BND
-0.79
Martin
VCLT
-2.47
BND
-3.44
Comparisons