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LQDH vs. IGHG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

LQDH vs. IGHG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Interest Rate Hedged Corporate Bond ETF (LQDH) and ProShares Investment Grade-Interest Rate Hedged (IGHG). The values are adjusted to include any dividend payments, if applicable.

-2.00%-1.00%0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
2.98%
4.10%
LQDH
IGHG

Returns By Period

In the year-to-date period, LQDH achieves a 6.65% return, which is significantly lower than IGHG's 7.90% return. Both investments have delivered pretty close results over the past 10 years, with LQDH having a 3.60% annualized return and IGHG not far ahead at 3.71%.


LQDH

YTD

6.65%

1M

0.57%

6M

2.98%

1Y

7.87%

5Y (annualized)

4.40%

10Y (annualized)

3.60%

IGHG

YTD

7.90%

1M

0.24%

6M

4.10%

1Y

8.79%

5Y (annualized)

4.51%

10Y (annualized)

3.71%

Key characteristics


LQDHIGHG
Sharpe Ratio2.952.10
Sortino Ratio4.413.00
Omega Ratio1.611.42
Calmar Ratio4.563.48
Martin Ratio22.2816.57
Ulcer Index0.37%0.55%
Daily Std Dev2.81%4.36%
Max Drawdown-24.63%-25.16%
Current Drawdown-0.59%-0.54%

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LQDH vs. IGHG - Expense Ratio Comparison

LQDH has a 0.25% expense ratio, which is lower than IGHG's 0.30% expense ratio.


IGHG
ProShares Investment Grade-Interest Rate Hedged
Expense ratio chart for IGHG: 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%
Expense ratio chart for LQDH: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Correlation

-0.50.00.51.00.5

The correlation between LQDH and IGHG is 0.50, 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.

Risk-Adjusted Performance

LQDH vs. IGHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Interest Rate Hedged Corporate Bond ETF (LQDH) and ProShares Investment Grade-Interest Rate Hedged (IGHG). 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 LQDH, currently valued at 2.95, compared to the broader market0.002.004.002.952.10
The chart of Sortino ratio for LQDH, currently valued at 4.41, compared to the broader market-2.000.002.004.006.008.0010.0012.004.413.00
The chart of Omega ratio for LQDH, currently valued at 1.61, compared to the broader market0.501.001.502.002.503.001.611.42
The chart of Calmar ratio for LQDH, currently valued at 4.56, compared to the broader market0.005.0010.0015.004.563.48
The chart of Martin ratio for LQDH, currently valued at 22.28, compared to the broader market0.0020.0040.0060.0080.00100.00120.0022.2816.57
LQDH
IGHG

The current LQDH Sharpe Ratio is 2.95, which is higher than the IGHG Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of LQDH and IGHG, 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 Ratio2.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
2.95
2.10
LQDH
IGHG

Dividends

LQDH vs. IGHG - Dividend Comparison

LQDH's dividend yield for the trailing twelve months is around 8.02%, more than IGHG's 5.09% yield.


TTM20232022202120202019201820172016201520142013
LQDH
iShares Interest Rate Hedged Corporate Bond ETF
8.02%7.69%3.73%1.64%2.22%3.09%5.08%2.37%2.33%2.98%2.19%0.00%
IGHG
ProShares Investment Grade-Interest Rate Hedged
5.09%4.99%3.55%2.50%2.78%3.48%4.13%3.36%3.37%3.64%3.59%0.55%

Drawdowns

LQDH vs. IGHG - Drawdown Comparison

The maximum LQDH drawdown since its inception was -24.63%, roughly equal to the maximum IGHG drawdown of -25.16%. Use the drawdown chart below to compare losses from any high point for LQDH and IGHG. For additional features, visit the drawdowns tool.


-2.50%-2.00%-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.59%
-0.54%
LQDH
IGHG

Volatility

LQDH vs. IGHG - Volatility Comparison

The current volatility for iShares Interest Rate Hedged Corporate Bond ETF (LQDH) is 0.81%, while ProShares Investment Grade-Interest Rate Hedged (IGHG) has a volatility of 1.89%. This indicates that LQDH experiences smaller price fluctuations and is considered to be less risky than IGHG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
0.81%
1.89%
LQDH
IGHG