Performance

VCSH-3.39%SGOV-0.02%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
VCSH	+0.04%	-3.18%	-3.39%	-1.24%	-3.75%	-3.28
SGOV	+0.01%	+0.27%	-0.02%	+0.13%	-0.44%	-4.39

Summary

VCSH vs SGOV

Over the past year, SGOV returned -0.02% against -3.39% for VCSH. Over five years, SGOV averaged +0.13% a year, compared with -1.24% for VCSH. VCSH had the higher Sharpe ratio over the past year (-3.28 vs -4.39), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -0.44% for SGOV and -3.75% for VCSH.

Current Drawdown

VCSH-3.72%SGOV-0.04%

Rolling Volatility

VCSH+0.20%SGOV+0.06%

METRICS

Correlation Matrix

	VCSH	SGOV
VCSH	1.00	0.51
SGOV	0.51	1.00

Metrics

Risk Indicators

VCSHSGOV

Alpha

-8.60%

-4.44%

Beta

0.06x

-0.01x

Sharpe

-3.28

-4.39

Sortino

-3.65

-4.26

Omega

0.56

0.14

Calmar

-0.90

-0.05

Martin

-5.42

-21.44

Comparisons

More VCSH comparisons

VCSH vs BND
VCSH vs VCIT
VCSH vs BSV
VCSH vs LQD
VCSH vs VOO

More SGOV comparisons

SGOV vs BIL
SGOV vs IEF
SGOV vs TLT
SGOV vs AGG
SGOV vs BND
SGOV vs MUB

VCSH vs SGOV: returns, Sharpe ratio and drawdown

VCSH vs SGOV

More VCSH comparisons

More SGOV comparisons