Performance

VTIP-2.93%VBIL+0.16%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
VTIP	+0.21%	-1.56%	-2.93%	-1.35%	-4.13%	-2.46
VBIL	+0.04%	+0.27%	+0.16%	—	-0.44%	-4.27

Summary

VTIP vs VBIL

Over the past year, VBIL returned +0.16% against -2.93% for VTIP. VTIP had the higher Sharpe ratio over the past year (-2.46 vs -4.27), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -0.44% for VBIL and -4.13% for VTIP.

Current Drawdown

VTIP-3.53%VBIL-0.11%

Rolling Volatility

VTIP+0.37%VBIL+0.07%

METRICS

Correlation Matrix

	VTIP	VBIL
VTIP	1.00	0.46
VBIL	0.46	1.00

Metrics

Risk Indicators

VTIPVBIL

Alpha

-7.49%

-4.29%

Beta

0.00x

-0.00x

Sharpe

-2.46

-4.27

Sortino

-2.56

-4.17

Omega

0.52

0.20

Calmar

-0.71

0.36

Martin

-5.40

-24.64

Comparisons

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VTIP vs SGOV
VTIP vs SCHP
VTIP vs STIP
VTIP vs TIP
VTIP vs BND
VTIP vs VGSH

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VBIL vs SGOV
VBIL vs VGSH
VBIL vs BND
VBIL vs BIL
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VBIL vs TBIL

VTIP vs VBIL: returns, Sharpe ratio and drawdown

VTIP vs VBIL

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