VCLT vs TLT: returns, Sharpe ratio and drawdown
Performance
VCLT-11.40%TLT-12.56%
Summary
VCLT vs TLT
Over the past year, VCLT returned -11.40% against -12.56% for TLT. Over five years, VCLT averaged -8.26% a year, compared with -11.60% for TLT. TLT had the higher Sharpe ratio over the past year (-1.84 vs -1.95), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -14.00% for VCLT and -16.24% for TLT.
Current Drawdown
VCLT-11.89%TLT-13.05%
Rolling Volatility
VCLT+0.62%TLT+0.69%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VCLTTLT
Alpha
VCLT
-19.23%
TLT
-19.77%
Beta
VCLT
0.31x
TLT
0.23x
Sharpe
VCLT
-1.95
TLT
-1.84
Sortino
VCLT
-2.45
TLT
-2.35
Omega
VCLT
0.72
TLT
0.74
Calmar
VCLT
-0.81
TLT
-0.77
Martin
VCLT
-2.47
TLT
-2.30
Comparisons