PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
IEDI vs. VDC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between IEDI and VDC is 0.59, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

IEDI vs. VDC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Evolved U.S. Discretionary Spending ETF (IEDI) and Vanguard Consumer Staples ETF (VDC). The values are adjusted to include any dividend payments, if applicable.

80.00%100.00%120.00%140.00%160.00%JulyAugustSeptemberOctoberNovemberDecember
144.14%
93.25%
IEDI
VDC

Key characteristics

Sharpe Ratio

IEDI:

2.00

VDC:

1.84

Sortino Ratio

IEDI:

2.77

VDC:

2.69

Omega Ratio

IEDI:

1.35

VDC:

1.32

Calmar Ratio

IEDI:

3.02

VDC:

3.18

Martin Ratio

IEDI:

8.83

VDC:

11.04

Ulcer Index

IEDI:

2.89%

VDC:

1.58%

Daily Std Dev

IEDI:

12.73%

VDC:

9.47%

Max Drawdown

IEDI:

-30.60%

VDC:

-34.24%

Current Drawdown

IEDI:

-4.43%

VDC:

-3.85%

Returns By Period

In the year-to-date period, IEDI achieves a 24.09% return, which is significantly higher than VDC's 14.62% return.


IEDI

YTD

24.09%

1M

2.42%

6M

11.22%

1Y

24.21%

5Y*

13.31%

10Y*

N/A

VDC

YTD

14.62%

1M

-1.31%

6M

5.95%

1Y

15.83%

5Y*

8.56%

10Y*

8.05%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


IEDI vs. VDC - Expense Ratio Comparison

IEDI has a 0.18% expense ratio, which is higher than VDC's 0.10% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


IEDI
iShares Evolved U.S. Discretionary Spending ETF
Expense ratio chart for IEDI: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
Expense ratio chart for VDC: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

IEDI vs. VDC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Evolved U.S. Discretionary Spending ETF (IEDI) and Vanguard Consumer Staples ETF (VDC). 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 IEDI, currently valued at 2.00, compared to the broader market0.002.004.002.001.84
The chart of Sortino ratio for IEDI, currently valued at 2.77, compared to the broader market-2.000.002.004.006.008.0010.002.772.69
The chart of Omega ratio for IEDI, currently valued at 1.35, compared to the broader market0.501.001.502.002.503.001.351.32
The chart of Calmar ratio for IEDI, currently valued at 3.02, compared to the broader market0.005.0010.0015.003.023.18
The chart of Martin ratio for IEDI, currently valued at 8.83, compared to the broader market0.0020.0040.0060.0080.00100.008.8311.04
IEDI
VDC

The current IEDI Sharpe Ratio is 2.00, which is comparable to the VDC Sharpe Ratio of 1.84. The chart below compares the historical Sharpe Ratios of IEDI and VDC, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
2.00
1.84
IEDI
VDC

Dividends

IEDI vs. VDC - Dividend Comparison

IEDI's dividend yield for the trailing twelve months is around 0.88%, less than VDC's 2.31% yield.


TTM20232022202120202019201820172016201520142013
IEDI
iShares Evolved U.S. Discretionary Spending ETF
0.88%1.13%3.04%0.70%0.83%1.58%1.57%0.00%0.00%0.00%0.00%0.00%
VDC
Vanguard Consumer Staples ETF
2.31%2.65%2.37%2.14%2.50%2.44%2.78%2.52%2.39%2.55%1.93%2.21%

Drawdowns

IEDI vs. VDC - Drawdown Comparison

The maximum IEDI drawdown since its inception was -30.60%, smaller than the maximum VDC drawdown of -34.24%. Use the drawdown chart below to compare losses from any high point for IEDI and VDC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.43%
-3.85%
IEDI
VDC

Volatility

IEDI vs. VDC - Volatility Comparison

iShares Evolved U.S. Discretionary Spending ETF (IEDI) has a higher volatility of 4.45% compared to Vanguard Consumer Staples ETF (VDC) at 2.91%. This indicates that IEDI's price experiences larger fluctuations and is considered to be riskier than VDC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
4.45%
2.91%
IEDI
VDC
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab