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LQD vs. VCSH
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


LQDVCSH
YTD Return1.49%4.38%
1Y Return8.69%7.22%
3Y Return (Ann)-2.74%1.55%
5Y Return (Ann)0.13%1.90%
10Y Return (Ann)2.48%2.29%
Sharpe Ratio1.293.03
Sortino Ratio1.894.83
Omega Ratio1.221.62
Calmar Ratio0.542.17
Martin Ratio4.4117.18
Ulcer Index2.18%0.44%
Daily Std Dev7.42%2.48%
Max Drawdown-24.95%-12.86%
Current Drawdown-10.62%-1.07%

Correlation

-0.50.00.51.00.7

The correlation between LQD and VCSH is 0.70, 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.

Performance

LQD vs. VCSH - Performance Comparison

In the year-to-date period, LQD achieves a 1.49% return, which is significantly lower than VCSH's 4.38% return. Over the past 10 years, LQD has outperformed VCSH with an annualized return of 2.48%, while VCSH has yielded a comparatively lower 2.29% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.22%
3.49%
LQD
VCSH

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LQD vs. VCSH - Expense Ratio Comparison

LQD has a 0.15% expense ratio, which is higher than VCSH'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%.


LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
Expense ratio chart for LQD: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for VCSH: 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

LQD vs. VCSH - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD) and Vanguard Short-Term Corporate Bond ETF (VCSH). 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.


LQD
Sharpe ratio
The chart of Sharpe ratio for LQD, currently valued at 1.29, compared to the broader market0.002.004.006.001.29
Sortino ratio
The chart of Sortino ratio for LQD, currently valued at 1.89, compared to the broader market-2.000.002.004.006.008.0010.0012.001.89
Omega ratio
The chart of Omega ratio for LQD, currently valued at 1.22, compared to the broader market0.501.001.502.002.503.001.22
Calmar ratio
The chart of Calmar ratio for LQD, currently valued at 0.54, compared to the broader market0.005.0010.0015.000.54
Martin ratio
The chart of Martin ratio for LQD, currently valued at 4.41, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.41
VCSH
Sharpe ratio
The chart of Sharpe ratio for VCSH, currently valued at 3.03, compared to the broader market0.002.004.006.003.03
Sortino ratio
The chart of Sortino ratio for VCSH, currently valued at 4.83, compared to the broader market-2.000.002.004.006.008.0010.0012.004.83
Omega ratio
The chart of Omega ratio for VCSH, currently valued at 1.62, compared to the broader market0.501.001.502.002.503.001.62
Calmar ratio
The chart of Calmar ratio for VCSH, currently valued at 2.17, compared to the broader market0.005.0010.0015.002.17
Martin ratio
The chart of Martin ratio for VCSH, currently valued at 17.18, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.18

LQD vs. VCSH - Sharpe Ratio Comparison

The current LQD Sharpe Ratio is 1.29, which is lower than the VCSH Sharpe Ratio of 3.03. The chart below compares the historical Sharpe Ratios of LQD and VCSH, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.29
3.03
LQD
VCSH

Dividends

LQD vs. VCSH - Dividend Comparison

LQD's dividend yield for the trailing twelve months is around 4.41%, more than VCSH's 3.82% yield.


TTM20232022202120202019201820172016201520142013
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
4.41%3.99%3.30%2.30%2.66%3.29%3.67%3.10%3.34%3.47%3.39%3.83%
VCSH
Vanguard Short-Term Corporate Bond ETF
3.82%3.09%2.01%1.81%2.27%2.87%2.65%2.25%2.10%2.08%2.01%2.05%

Drawdowns

LQD vs. VCSH - Drawdown Comparison

The maximum LQD drawdown since its inception was -24.95%, which is greater than VCSH's maximum drawdown of -12.86%. Use the drawdown chart below to compare losses from any high point for LQD and VCSH. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-10.62%
-1.07%
LQD
VCSH

Volatility

LQD vs. VCSH - Volatility Comparison

iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD) has a higher volatility of 2.49% compared to Vanguard Short-Term Corporate Bond ETF (VCSH) at 0.66%. This indicates that LQD's price experiences larger fluctuations and is considered to be riskier than VCSH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%2.50%JuneJulyAugustSeptemberOctoberNovember
2.49%
0.66%
LQD
VCSH