LKOR vs. ^GSPC
Compare and contrast key facts about FlexShares Credit-Scored U.S. Long Corporate Bond Index Fund (LKOR) and S&P 500 (^GSPC).
LKOR is a passively managed fund by Northern Trust that tracks the performance of the Northern Trust US Long Corporate Bond Quality Value Index. It was launched on Sep 24, 2015.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: LKOR or ^GSPC.
Key characteristics
| LKOR | ^GSPC | |
|---|---|---|
| YTD Return | 2.64% | 25.70% |
| 1Y Return | 16.84% | 37.91% |
| 3Y Return (Ann) | -5.90% | 8.59% |
| 5Y Return (Ann) | 0.12% | 14.18% |
| Sharpe Ratio | 1.35 | 2.97 |
| Sortino Ratio | 1.96 | 3.97 |
| Omega Ratio | 1.23 | 1.56 |
| Calmar Ratio | 0.52 | 3.93 |
| Martin Ratio | 4.58 | 19.39 |
| Ulcer Index | 3.30% | 1.90% |
| Daily Std Dev | 11.16% | 12.38% |
| Max Drawdown | -34.78% | -56.78% |
| Current Drawdown | -16.96% | 0.00% |
Correlation
The correlation between LKOR and ^GSPC is 0.15, 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.
Performance
LKOR vs. ^GSPC - Performance Comparison
In the year-to-date period, LKOR achieves a 2.64% return, which is significantly lower than ^GSPC's 25.70% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
LKOR vs. ^GSPC - 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 S&P 500 (^GSPC). 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.
Drawdowns
LKOR vs. ^GSPC - Drawdown Comparison
The maximum LKOR drawdown since its inception was -34.78%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for LKOR and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
LKOR vs. ^GSPC - Volatility Comparison
The current volatility for FlexShares Credit-Scored U.S. Long Corporate Bond Index Fund (LKOR) is 3.65%, while S&P 500 (^GSPC) has a volatility of 3.92%. This indicates that LKOR experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.