Performance

VGIT-5.52%SGOV+0.01%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
VGIT	+0.11%	-4.64%	-5.52%	-3.16%	-6.95%	-2.79
SGOV	+0.04%	+0.18%	+0.01%	+0.11%	-0.44%	-4.44

Summary

VGIT vs SGOV

Over the past year, SGOV returned +0.01% against -5.52% for VGIT. Over five years, SGOV averaged +0.11% a year, compared with -3.16% for VGIT. VGIT had the higher Sharpe ratio over the past year (-2.79 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 -6.95% for VGIT.

Current Drawdown

VGIT-5.93%SGOV-0.13%

Rolling Volatility

VGIT+0.26%SGOV+0.06%

METRICS

Correlation Matrix

	VGIT	SGOV
VGIT	1.00	0.35
SGOV	0.35	1.00

Metrics

Risk Indicators

VGITSGOV

Alpha

-10.99%

-4.43%

Beta

0.09x

-0.01x

Sharpe

-2.79

-4.44

Sortino

-3.33

-4.30

Omega

0.64

0.14

Calmar

-0.79

0.02

Martin

-3.28

-21.43

Comparisons

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VGIT vs SGOV: returns, Sharpe ratio and drawdown

VGIT vs SGOV

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