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

Performance

ISDB vs. VRIG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Short Duration Bond ETF (ISDB) and Invesco Variable Rate Investment Grade ETF (VRIG). The values are adjusted to include any dividend payments, if applicable.

0.00%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
2.95%
2.92%
ISDB
VRIG

Returns By Period

In the year-to-date period, ISDB achieves a 4.46% return, which is significantly lower than VRIG's 6.03% return.


ISDB

YTD

4.46%

1M

-0.51%

6M

2.94%

1Y

6.78%

5Y (annualized)

N/A

10Y (annualized)

N/A

VRIG

YTD

6.03%

1M

0.52%

6M

2.93%

1Y

7.15%

5Y (annualized)

3.51%

10Y (annualized)

N/A

Key characteristics


ISDBVRIG
Sharpe Ratio3.668.96
Sortino Ratio5.9719.37
Omega Ratio1.844.45
Calmar Ratio7.0636.46
Martin Ratio25.87242.72
Ulcer Index0.26%0.03%
Daily Std Dev1.85%0.81%
Max Drawdown-1.44%-13.04%
Current Drawdown-0.82%0.00%

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ISDB vs. VRIG - Expense Ratio Comparison

ISDB has a 0.36% expense ratio, which is higher than VRIG's 0.30% 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 VRIG: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%

Correlation

-0.50.00.51.00.0

The correlation between ISDB and VRIG is 0.00, 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

ISDB vs. VRIG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Short Duration Bond ETF (ISDB) and Invesco Variable Rate Investment Grade ETF (VRIG). 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 ISDB, currently valued at 3.66, compared to the broader market0.002.004.006.003.668.96
The chart of Sortino ratio for ISDB, currently valued at 5.97, compared to the broader market-2.000.002.004.006.008.0010.0012.005.9719.37
The chart of Omega ratio for ISDB, currently valued at 1.84, compared to the broader market0.501.001.502.002.503.001.844.45
The chart of Calmar ratio for ISDB, currently valued at 7.06, compared to the broader market0.005.0010.0015.007.0636.46
The chart of Martin ratio for ISDB, currently valued at 25.87, compared to the broader market0.0020.0040.0060.0080.00100.00120.0025.87242.72
ISDB
VRIG

The current ISDB Sharpe Ratio is 3.66, which is lower than the VRIG Sharpe Ratio of 8.96. The chart below compares the historical Sharpe Ratios of ISDB and VRIG, 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 Ratio2.004.006.008.0010.00JuneJulyAugustSeptemberOctoberNovember
3.66
8.96
ISDB
VRIG

Dividends

ISDB vs. VRIG - Dividend Comparison

ISDB's dividend yield for the trailing twelve months is around 5.08%, less than VRIG's 6.18% yield.


TTM20232022202120202019201820172016
ISDB
Invesco Short Duration Bond ETF
5.08%5.60%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VRIG
Invesco Variable Rate Investment Grade ETF
6.18%5.96%2.39%0.77%1.56%3.13%2.89%2.31%0.60%

Drawdowns

ISDB vs. VRIG - Drawdown Comparison

The maximum ISDB drawdown since its inception was -1.44%, smaller than the maximum VRIG drawdown of -13.04%. Use the drawdown chart below to compare losses from any high point for ISDB and VRIG. For additional features, visit the drawdowns tool.


-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.82%
0
ISDB
VRIG

Volatility

ISDB vs. VRIG - Volatility Comparison

Invesco Short Duration Bond ETF (ISDB) has a higher volatility of 0.57% compared to Invesco Variable Rate Investment Grade ETF (VRIG) at 0.21%. This indicates that ISDB's price experiences larger fluctuations and is considered to be riskier than VRIG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.20%0.30%0.40%0.50%0.60%JuneJulyAugustSeptemberOctoberNovember
0.57%
0.21%
ISDB
VRIG