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ISDB vs. SLQD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ISDBSLQD
YTD Return4.82%4.61%
1Y Return7.64%7.60%
Sharpe Ratio4.053.61
Sortino Ratio6.966.11
Omega Ratio1.961.81
Calmar Ratio10.382.98
Martin Ratio31.7426.16
Ulcer Index0.24%0.29%
Daily Std Dev1.85%2.10%
Max Drawdown-1.44%-12.69%
Current Drawdown-0.48%-0.46%

Correlation

-0.50.00.51.00.9

The correlation between ISDB and SLQD is 0.87, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

ISDB vs. SLQD - Performance Comparison

The year-to-date returns for both stocks are quite close, with ISDB having a 4.82% return and SLQD slightly lower at 4.61%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
3.60%
3.76%
ISDB
SLQD

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ISDB vs. SLQD - Expense Ratio Comparison

ISDB has a 0.36% expense ratio, which is higher than SLQD's 0.06% expense ratio.


ISDB
Invesco Short Duration Bond ETF
Expense ratio chart for ISDB: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%
Expense ratio chart for SLQD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

ISDB vs. SLQD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Short Duration Bond ETF (ISDB) and iShares 0-5 Year Investment Grade Corporate Bond ETF (SLQD). 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.


ISDB
Sharpe ratio
The chart of Sharpe ratio for ISDB, currently valued at 4.05, compared to the broader market-2.000.002.004.006.004.05
Sortino ratio
The chart of Sortino ratio for ISDB, currently valued at 6.96, compared to the broader market0.005.0010.006.96
Omega ratio
The chart of Omega ratio for ISDB, currently valued at 1.96, compared to the broader market1.001.502.002.503.001.96
Calmar ratio
The chart of Calmar ratio for ISDB, currently valued at 10.38, compared to the broader market0.005.0010.0015.0010.38
Martin ratio
The chart of Martin ratio for ISDB, currently valued at 31.74, compared to the broader market0.0020.0040.0060.0080.00100.0031.74
SLQD
Sharpe ratio
The chart of Sharpe ratio for SLQD, currently valued at 3.62, compared to the broader market-2.000.002.004.006.003.62
Sortino ratio
The chart of Sortino ratio for SLQD, currently valued at 6.13, compared to the broader market0.005.0010.006.13
Omega ratio
The chart of Omega ratio for SLQD, currently valued at 1.82, compared to the broader market1.001.502.002.503.001.82
Calmar ratio
The chart of Calmar ratio for SLQD, currently valued at 9.29, compared to the broader market0.005.0010.0015.009.29
Martin ratio
The chart of Martin ratio for SLQD, currently valued at 26.13, compared to the broader market0.0020.0040.0060.0080.00100.0026.13

ISDB vs. SLQD - Sharpe Ratio Comparison

The current ISDB Sharpe Ratio is 4.05, which is comparable to the SLQD Sharpe Ratio of 3.61. The chart below compares the historical Sharpe Ratios of ISDB and SLQD, 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 Ratio1.502.002.503.003.504.004.505.00JuneJulyAugustSeptemberOctoberNovember
4.05
3.62
ISDB
SLQD

Dividends

ISDB vs. SLQD - Dividend Comparison

ISDB's dividend yield for the trailing twelve months is around 5.52%, more than SLQD's 3.59% yield.


TTM20232022202120202019201820172016201520142013
ISDB
Invesco Short Duration Bond ETF
5.52%5.60%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SLQD
iShares 0-5 Year Investment Grade Corporate Bond ETF
3.59%2.99%2.00%1.67%2.34%2.89%2.56%1.98%1.81%1.43%1.24%0.23%

Drawdowns

ISDB vs. SLQD - Drawdown Comparison

The maximum ISDB drawdown since its inception was -1.44%, smaller than the maximum SLQD drawdown of -12.69%. Use the drawdown chart below to compare losses from any high point for ISDB and SLQD. For additional features, visit the drawdowns tool.


-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.48%
-0.46%
ISDB
SLQD

Volatility

ISDB vs. SLQD - Volatility Comparison

The current volatility for Invesco Short Duration Bond ETF (ISDB) is 0.48%, while iShares 0-5 Year Investment Grade Corporate Bond ETF (SLQD) has a volatility of 0.53%. This indicates that ISDB experiences smaller price fluctuations and is considered to be less risky than SLQD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.30%0.40%0.50%0.60%0.70%JuneJulyAugustSeptemberOctoberNovember
0.48%
0.53%
ISDB
SLQD