VCRB vs VPLS: returns, Sharpe ratio and drawdown
Performance
VCRB+0.43%VPLS+0.64%
Summary
VCRB vs VPLS
Over the past year, VPLS returned +0.64% against +0.43% for VCRB. VPLS had the higher Sharpe ratio over the past year (-0.79 vs -0.85), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -4.30% for VPLS and -4.48% for VCRB. Dividends over the past year came to 4.88% of VPLS's price, against 4.78% for VCRB. Their daily returns had a correlation of 0.98 over the past year, which is very high.
Ranking
How VCRB and VPLS rank
VCRBVPLS
Current Drawdown
VCRB-1.84%VPLS-1.65%
Rolling Volatility
VCRB3.66%VPLS3.59%
METRICS
Correlation Matrix
Fees and dividends
What VCRB and VPLS cost and pay
VCRBVPLSExpense ratio0.10%0.20%Yield4.78%4.88%Paid, past year$3.59$3.68PaysMonthlyMonthlyGrowth a year——Return with dividends+0.43%1Y+0.64%1YReturn, price only-4.15%1Y-4.04%1Y
VCRB charges 0.10% a year and VPLS 0.20%.
Metrics
Risk Indicators
VCRBVPLS
Alpha
VCRB
-4.19%
VPLS
-4.14%
Beta
VCRB
0.10x
VPLS
0.12x
Sharpe
VCRB
-0.85
VPLS
-0.79
Sortino
VCRB
-1.12
VPLS
-1.03
Omega
VCRB
0.87
VPLS
0.88
Calmar
VCRB
0.10
VPLS
0.15
Martin
VCRB
-1.78
VPLS
-1.81
Comparisons