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

Correlation

The correlation between LKOR and VGLT is 0.71, 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.


-0.50.00.51.00.7

Performance

LKOR vs. VGLT - Performance Comparison

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

-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
0.12%
-4.17%
LKOR
VGLT

Key characteristics

Sharpe Ratio

LKOR:

-0.07

VGLT:

-0.48

Sortino Ratio

LKOR:

-0.03

VGLT:

-0.58

Omega Ratio

LKOR:

1.00

VGLT:

0.93

Calmar Ratio

LKOR:

-0.03

VGLT:

-0.15

Martin Ratio

LKOR:

-0.20

VGLT:

-1.03

Ulcer Index

LKOR:

3.73%

VGLT:

6.04%

Daily Std Dev

LKOR:

10.56%

VGLT:

12.98%

Max Drawdown

LKOR:

-34.78%

VGLT:

-46.18%

Current Drawdown

LKOR:

-19.81%

VGLT:

-39.81%

Returns By Period

In the year-to-date period, LKOR achieves a -0.89% return, which is significantly higher than VGLT's -6.30% return.


LKOR

YTD

-0.89%

1M

-1.47%

6M

0.18%

1Y

-0.32%

5Y*

-1.24%

10Y*

N/A

VGLT

YTD

-6.30%

1M

-2.15%

6M

-3.99%

1Y

-5.94%

5Y*

-5.40%

10Y*

-0.54%

Compare stocks, funds, or ETFs

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


LKOR vs. VGLT - Expense Ratio Comparison

LKOR has a 0.22% expense ratio, which is higher than VGLT's 0.04% 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%.


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 VGLT: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

LKOR vs. VGLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for FlexShares Credit-Scored U.S. Long Corporate Bond Index Fund (LKOR) and Vanguard Long-Term Treasury ETF (VGLT). 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 LKOR, currently valued at -0.07, compared to the broader market0.002.004.00-0.07-0.48
The chart of Sortino ratio for LKOR, currently valued at -0.03, compared to the broader market-2.000.002.004.006.008.0010.00-0.03-0.58
The chart of Omega ratio for LKOR, currently valued at 1.00, compared to the broader market0.501.001.502.002.503.001.000.93
The chart of Calmar ratio for LKOR, currently valued at -0.03, compared to the broader market0.005.0010.0015.00-0.03-0.15
The chart of Martin ratio for LKOR, currently valued at -0.20, compared to the broader market0.0020.0040.0060.0080.00100.00-0.20-1.03
LKOR
VGLT

The current LKOR Sharpe Ratio is -0.07, which is higher than the VGLT Sharpe Ratio of -0.48. The chart below compares the historical Sharpe Ratios of LKOR and VGLT, 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 Ratio-0.500.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
-0.07
-0.48
LKOR
VGLT

Dividends

LKOR vs. VGLT - Dividend Comparison

LKOR's dividend yield for the trailing twelve months is around 5.52%, more than VGLT's 3.94% yield.


TTM20232022202120202019201820172016201520142013
LKOR
FlexShares Credit-Scored U.S. Long Corporate Bond Index Fund
5.52%4.89%4.71%4.73%6.56%3.71%4.21%3.78%5.53%1.22%0.00%0.00%
VGLT
Vanguard Long-Term Treasury ETF
3.94%3.33%2.83%1.82%2.15%2.46%2.71%2.55%2.69%3.21%2.75%3.19%

Drawdowns

LKOR vs. VGLT - Drawdown Comparison

The maximum LKOR drawdown since its inception was -34.78%, smaller than the maximum VGLT drawdown of -46.18%. Use the drawdown chart below to compare losses from any high point for LKOR and VGLT. For additional features, visit the drawdowns tool.


-40.00%-35.00%-30.00%-25.00%-20.00%-15.00%JulyAugustSeptemberOctoberNovemberDecember
-19.81%
-39.81%
LKOR
VGLT

Volatility

LKOR vs. VGLT - Volatility Comparison

The current volatility for FlexShares Credit-Scored U.S. Long Corporate Bond Index Fund (LKOR) is 3.51%, while Vanguard Long-Term Treasury ETF (VGLT) has a volatility of 3.98%. This indicates that LKOR experiences smaller price fluctuations and is considered to be less risky than VGLT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%4.50%JulyAugustSeptemberOctoberNovemberDecember
3.51%
3.98%
LKOR
VGLT
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