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ICVT vs. LKOR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

ICVT vs. LKOR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Convertible Bond ETF (ICVT) and FlexShares Credit-Scored U.S. Long Corporate Bond Index Fund (LKOR). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.89%
3.52%
ICVT
LKOR

Returns By Period

In the year-to-date period, ICVT achieves a 13.93% return, which is significantly higher than LKOR's 0.49% return.


ICVT

YTD

13.93%

1M

4.27%

6M

13.49%

1Y

22.48%

5Y (annualized)

11.70%

10Y (annualized)

N/A

LKOR

YTD

0.49%

1M

-1.08%

6M

3.90%

1Y

9.08%

5Y (annualized)

-0.74%

10Y (annualized)

N/A

Key characteristics


ICVTLKOR
Sharpe Ratio2.720.90
Sortino Ratio3.861.32
Omega Ratio1.501.16
Calmar Ratio0.880.38
Martin Ratio14.642.81
Ulcer Index1.55%3.47%
Daily Std Dev8.34%10.89%
Max Drawdown-33.25%-34.78%
Current Drawdown-9.22%-18.70%

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ICVT vs. LKOR - Expense Ratio Comparison

ICVT has a 0.20% expense ratio, which is lower than LKOR's 0.22% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


LKOR
FlexShares Credit-Scored U.S. Long Corporate Bond Index Fund
Expense ratio chart for LKOR: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%
Expense ratio chart for ICVT: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Correlation

-0.50.00.51.00.2

The correlation between ICVT and LKOR is 0.17, 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.

Risk-Adjusted Performance

ICVT vs. LKOR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Convertible Bond ETF (ICVT) and FlexShares Credit-Scored U.S. Long Corporate Bond Index Fund (LKOR). 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.


Sharpe ratio
The chart of Sharpe ratio for ICVT, currently valued at 2.72, compared to the broader market0.002.004.002.720.90
The chart of Sortino ratio for ICVT, currently valued at 3.86, compared to the broader market-2.000.002.004.006.008.0010.003.861.32
The chart of Omega ratio for ICVT, currently valued at 1.50, compared to the broader market0.501.001.502.002.503.001.501.16
The chart of Calmar ratio for ICVT, currently valued at 0.88, compared to the broader market0.005.0010.0015.000.880.38
The chart of Martin ratio for ICVT, currently valued at 14.64, compared to the broader market0.0020.0040.0060.0080.00100.0014.642.81
ICVT
LKOR

The current ICVT Sharpe Ratio is 2.72, which is higher than the LKOR Sharpe Ratio of 0.90. The chart below compares the historical Sharpe Ratios of ICVT and LKOR, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.72
0.90
ICVT
LKOR

Dividends

ICVT vs. LKOR - Dividend Comparison

ICVT's dividend yield for the trailing twelve months is around 2.23%, less than LKOR's 5.35% yield.


TTM202320222021202020192018201720162015
ICVT
iShares Convertible Bond ETF
2.23%1.84%1.93%7.70%3.98%1.86%4.82%2.56%3.06%1.57%
LKOR
FlexShares Credit-Scored U.S. Long Corporate Bond Index Fund
5.35%4.89%4.71%4.73%6.56%3.71%4.21%3.78%5.53%1.22%

Drawdowns

ICVT vs. LKOR - Drawdown Comparison

The maximum ICVT drawdown since its inception was -33.25%, roughly equal to the maximum LKOR drawdown of -34.78%. Use the drawdown chart below to compare losses from any high point for ICVT and LKOR. For additional features, visit the drawdowns tool.


-22.00%-20.00%-18.00%-16.00%-14.00%-12.00%-10.00%JuneJulyAugustSeptemberOctoberNovember
-9.22%
-18.70%
ICVT
LKOR

Volatility

ICVT vs. LKOR - Volatility Comparison

The current volatility for iShares Convertible Bond ETF (ICVT) is 2.59%, while FlexShares Credit-Scored U.S. Long Corporate Bond Index Fund (LKOR) has a volatility of 3.47%. This indicates that ICVT experiences smaller price fluctuations and is considered to be less risky than LKOR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%JuneJulyAugustSeptemberOctoberNovember
2.59%
3.47%
ICVT
LKOR