VUSB vs BND: returns, Sharpe ratio and drawdown
Performance
VUSB-0.86%BND-5.55%
Summary
VUSB vs BND
Over the past year, VUSB returned -0.86% against -5.55% for BND. Over five years, VUSB averaged -0.21% a year, compared with -3.69% for BND. BND had the higher Sharpe ratio over the past year (-2.50 vs -3.86), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -1.24% for VUSB and -7.04% for BND.
Current Drawdown
VUSB-1.02%BND-5.79%
Rolling Volatility
VUSB+0.08%BND+0.31%
METRICS
Correlation Matrix
Metrics
Risk Indicators
VUSBBND
Alpha
VUSB
-5.50%
BND
-11.37%
Beta
VUSB
0.01x
BND
0.13x
Sharpe
VUSB
-3.86
BND
-2.50
Sortino
VUSB
-3.92
BND
-3.03
Omega
VUSB
0.38
BND
0.66
Calmar
VUSB
-0.69
BND
-0.79
Martin
VUSB
-8.91
BND
-3.44
Comparisons