LQDT vs. SBGB
Compare and contrast key facts about Liquidity Services, Inc. (LQDT) and Sberbank MOEX Russian Government Bond ETF (SBGB).
SBGB is a passively managed fund by Sberbank Asset Management that tracks the performance of the Moscow Exchange Government Bond. It was launched on Jan 25, 2019.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: LQDT or SBGB.
Performance
LQDT vs. SBGB - Performance Comparison
Returns By Period
In the year-to-date period, LQDT achieves a 47.59% return, which is significantly higher than SBGB's -10.44% return.
LQDT
47.59%
17.21%
31.67%
23.78%
31.88%
9.11%
SBGB
-10.44%
0.72%
-4.18%
-10.81%
-1.11%
N/A
Key characteristics
| LQDT | SBGB | |
|---|---|---|
| Sharpe Ratio | 0.73 | -1.52 |
| Sortino Ratio | 1.12 | -2.16 |
| Omega Ratio | 1.17 | 0.77 |
| Calmar Ratio | 0.31 | -0.66 |
| Martin Ratio | 2.15 | -1.40 |
| Ulcer Index | 11.05% | 7.71% |
| Daily Std Dev | 32.48% | 7.05% |
| Max Drawdown | -95.31% | -22.54% |
| Current Drawdown | -61.08% | -13.20% |
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Correlation
The correlation between LQDT and SBGB is 0.03, 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
LQDT vs. SBGB - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Liquidity Services, Inc. (LQDT) and Sberbank MOEX Russian Government Bond ETF (SBGB). 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.
Dividends
LQDT vs. SBGB - Dividend Comparison
Neither LQDT nor SBGB has paid dividends to shareholders.
Drawdowns
LQDT vs. SBGB - Drawdown Comparison
The maximum LQDT drawdown since its inception was -95.31%, which is greater than SBGB's maximum drawdown of -22.54%. Use the drawdown chart below to compare losses from any high point for LQDT and SBGB. For additional features, visit the drawdowns tool.
Volatility
LQDT vs. SBGB - Volatility Comparison
Liquidity Services, Inc. (LQDT) has a higher volatility of 8.70% compared to Sberbank MOEX Russian Government Bond ETF (SBGB) at 5.70%. This indicates that LQDT's price experiences larger fluctuations and is considered to be riskier than SBGB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.