Performance

VCSH-3.39%BND-5.57%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
VCSH	+0.04%	-3.18%	-3.39%	-1.24%	-3.75%	-3.28
BND	-0.07%	-5.15%	-5.57%	-3.74%	-6.57%	-2.48

Summary

VCSH vs BND

Over the past year, VCSH returned -3.39% against -5.57% for BND. Over five years, VCSH averaged -1.24% a year, compared with -3.74% for BND. BND had the higher Sharpe ratio over the past year (-2.48 vs -3.28), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -3.75% for VCSH and -6.57% for BND.

Current Drawdown

VCSH-3.72%BND-6.57%

Rolling Volatility

VCSH+0.20%BND+0.33%

METRICS

Correlation Matrix

	VCSH	BND
VCSH	1.00	0.90
BND	0.90	1.00

Metrics

Risk Indicators

VCSHBND

Alpha

-8.60%

-11.36%

Beta

0.06x

0.11x

Sharpe

-3.28

-2.48

Sortino

-3.65

-2.98

Omega

0.56

0.67

Calmar

-0.90

-0.85

Martin

-5.42

-3.99

Comparisons

More VCSH comparisons

VCSH vs SGOV
VCSH vs VCIT
VCSH vs BSV
VCSH vs LQD
VCSH vs VOO

More BND comparisons

BND vs SGOV
BND vs BNDX
BND vs SCHD
BND vs BIV
BND vs BLV
BND vs BSV

VCSH vs BND: returns, Sharpe ratio and drawdown

VCSH vs BND

More VCSH comparisons

More BND comparisons