iShares Convertible Bond ETF (ICVT)

85.78 -0.83 (-0.96%) USD  |  BATS  |  Dec 27, 16:00
84.72 -1.06 (-1.24%) After-Hours: 16:43
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ICVT Max Drawdown (5Y): 33.14% for Nov. 30, 2024

Max Drawdown (5Y) Chart

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Historical Data

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Max Drawdown Definition

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Max drawdown is an indicator of the risk of a portfolio chosen based on a certain strategy. It measures the largest single drop from peak to bottom in the value of a portfolio before a new peak is achieved.

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Max Drawdown (5Y) Range, Past 5 Years

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Max Drawdown (5Y) Benchmarks

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SPDR Bloomberg Convertible Securities ETF 32.06%
Bancroft Fund Ltd 48.78%
Ellsworth Growth and Income Fund Ltd 47.25%
Advent Convertible & Income Fund 49.75%
CALAMOS CONVERTIBLE OPPORTUNITIES & INCOME FUND 49.56%

Max Drawdown (5Y) Related Metrics

Alpha (5Y) -0.7783
Beta (5Y) 0.7594
Alpha (vs YCharts Benchmark) (5Y) 14.05
Beta (vs YCharts Benchmark) (5Y) 1.223
Annualized Standard Deviation of Monthly Returns (5Y Lookback) 19.65%
Historical Sharpe Ratio (5Y) 0.4765
Historical Sortino (5Y) 0.611
Monthly Value at Risk (VaR) 5% (5Y Lookback) 7.78%