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CWB vs. VCSH
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between CWB and VCSH is 0.07, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


Performance

CWB vs. VCSH - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Bloomberg Barclays Convertible Securities ETF (CWB) and Vanguard Short-Term Corporate Bond ETF (VCSH). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

CWB:

1.14

VCSH:

2.74

Sortino Ratio

CWB:

1.67

VCSH:

4.06

Omega Ratio

CWB:

1.23

VCSH:

1.56

Calmar Ratio

CWB:

0.80

VCSH:

5.07

Martin Ratio

CWB:

4.12

VCSH:

14.14

Ulcer Index

CWB:

3.33%

VCSH:

0.46%

Daily Std Dev

CWB:

11.60%

VCSH:

2.44%

Max Drawdown

CWB:

-32.06%

VCSH:

-12.86%

Current Drawdown

CWB:

-4.58%

VCSH:

-0.09%

Returns By Period

In the year-to-date period, CWB achieves a 4.27% return, which is significantly higher than VCSH's 2.49% return. Over the past 10 years, CWB has outperformed VCSH with an annualized return of 8.95%, while VCSH has yielded a comparatively lower 2.48% annualized return.


CWB

YTD

4.27%

1M

8.34%

6M

2.20%

1Y

13.10%

3Y*

8.71%

5Y*

10.22%

10Y*

8.95%

VCSH

YTD

2.49%

1M

0.61%

6M

2.89%

1Y

6.62%

3Y*

4.22%

5Y*

2.06%

10Y*

2.48%

*Annualized

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CWB vs. VCSH - Expense Ratio Comparison

CWB has a 0.40% expense ratio, which is higher than VCSH's 0.04% expense ratio.


Risk-Adjusted Performance

CWB vs. VCSH — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CWB
The Risk-Adjusted Performance Rank of CWB is 8282
Overall Rank
The Sharpe Ratio Rank of CWB is 8585
Sharpe Ratio Rank
The Sortino Ratio Rank of CWB is 8585
Sortino Ratio Rank
The Omega Ratio Rank of CWB is 8484
Omega Ratio Rank
The Calmar Ratio Rank of CWB is 7474
Calmar Ratio Rank
The Martin Ratio Rank of CWB is 8181
Martin Ratio Rank

VCSH
The Risk-Adjusted Performance Rank of VCSH is 9797
Overall Rank
The Sharpe Ratio Rank of VCSH is 9797
Sharpe Ratio Rank
The Sortino Ratio Rank of VCSH is 9797
Sortino Ratio Rank
The Omega Ratio Rank of VCSH is 9797
Omega Ratio Rank
The Calmar Ratio Rank of VCSH is 9898
Calmar Ratio Rank
The Martin Ratio Rank of VCSH is 9696
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

CWB vs. VCSH - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Bloomberg Barclays Convertible Securities ETF (CWB) and Vanguard Short-Term Corporate Bond ETF (VCSH). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


The current CWB Sharpe Ratio is 1.14, which is lower than the VCSH Sharpe Ratio of 2.74. The chart below compares the historical Sharpe Ratios of CWB and VCSH, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

CWB vs. VCSH - Dividend Comparison

CWB's dividend yield for the trailing twelve months is around 1.90%, less than VCSH's 4.11% yield.


TTM20242023202220212020201920182017201620152014
CWB
SPDR Bloomberg Barclays Convertible Securities ETF
1.90%1.85%1.97%2.21%1.97%2.34%3.03%6.17%4.25%4.60%7.52%7.37%
VCSH
Vanguard Short-Term Corporate Bond ETF
4.11%3.96%3.09%2.01%1.81%2.27%2.87%2.65%2.25%2.10%2.08%2.01%

Drawdowns

CWB vs. VCSH - Drawdown Comparison

The maximum CWB drawdown since its inception was -32.06%, which is greater than VCSH's maximum drawdown of -12.86%. Use the drawdown chart below to compare losses from any high point for CWB and VCSH. For additional features, visit the drawdowns tool.


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Volatility

CWB vs. VCSH - Volatility Comparison

SPDR Bloomberg Barclays Convertible Securities ETF (CWB) has a higher volatility of 2.54% compared to Vanguard Short-Term Corporate Bond ETF (VCSH) at 0.73%. This indicates that CWB's price experiences larger fluctuations and is considered to be riskier than VCSH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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