VCLT vs SGOV: returns, Sharpe ratio and drawdown
Performance
VCLT-11.40%SGOV+0.01%
Summary
VCLT vs SGOV
Over the past year, SGOV returned +0.01% against -11.40% for VCLT. Over five years, SGOV averaged +0.11% a year, compared with -8.26% for VCLT. VCLT had the higher Sharpe ratio over the past year (-1.95 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 SGOV and -14.00% for VCLT.
Current Drawdown
VCLT-11.89%SGOV-0.13%
Rolling Volatility
VCLT+0.62%SGOV+0.06%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VCLTSGOV
Alpha
VCLT
-19.23%
SGOV
-4.43%
Beta
VCLT
0.31x
SGOV
-0.01x
Sharpe
VCLT
-1.95
SGOV
-4.44
Sortino
VCLT
-2.45
SGOV
-4.30
Omega
VCLT
0.72
SGOV
0.14
Calmar
VCLT
-0.81
SGOV
0.02
Martin
VCLT
-2.47
SGOV
-21.43
Comparisons