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SUSB vs. VCLT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SUSB vs. VCLT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG 1-5 Year USD Corporate Bond ETF (SUSB) and Vanguard Long-Term Corporate Bond ETF (VCLT). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.50%
3.39%
SUSB
VCLT

Returns By Period

In the year-to-date period, SUSB achieves a 4.48% return, which is significantly higher than VCLT's 0.13% return.


SUSB

YTD

4.48%

1M

-0.42%

6M

3.50%

1Y

7.24%

5Y (annualized)

1.79%

10Y (annualized)

N/A

VCLT

YTD

0.13%

1M

-2.04%

6M

3.39%

1Y

9.25%

5Y (annualized)

-1.32%

10Y (annualized)

2.60%

Key characteristics


SUSBVCLT
Sharpe Ratio2.770.92
Sortino Ratio4.361.35
Omega Ratio1.561.16
Calmar Ratio1.920.38
Martin Ratio16.162.72
Ulcer Index0.45%3.66%
Daily Std Dev2.61%10.85%
Max Drawdown-13.25%-34.31%
Current Drawdown-0.98%-19.24%

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SUSB vs. VCLT - Expense Ratio Comparison

SUSB has a 0.12% expense ratio, which is higher than VCLT'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%.


SUSB
iShares ESG 1-5 Year USD Corporate Bond ETF
Expense ratio chart for SUSB: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VCLT: 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%

Correlation

-0.50.00.51.00.6

The correlation between SUSB and VCLT is 0.62, 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

SUSB vs. VCLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG 1-5 Year USD Corporate Bond ETF (SUSB) and Vanguard Long-Term Corporate Bond ETF (VCLT). 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 SUSB, currently valued at 2.77, compared to the broader market0.002.004.006.002.770.92
The chart of Sortino ratio for SUSB, currently valued at 4.36, compared to the broader market-2.000.002.004.006.008.0010.0012.004.361.35
The chart of Omega ratio for SUSB, currently valued at 1.56, compared to the broader market0.501.001.502.002.503.001.561.16
The chart of Calmar ratio for SUSB, currently valued at 1.92, compared to the broader market0.005.0010.0015.001.920.38
The chart of Martin ratio for SUSB, currently valued at 16.16, compared to the broader market0.0020.0040.0060.0080.00100.0016.162.72
SUSB
VCLT

The current SUSB Sharpe Ratio is 2.77, which is higher than the VCLT Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of SUSB and VCLT, 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
2.77
0.92
SUSB
VCLT

Dividends

SUSB vs. VCLT - Dividend Comparison

SUSB's dividend yield for the trailing twelve months is around 3.63%, less than VCLT's 4.98% yield.


TTM20232022202120202019201820172016201520142013
SUSB
iShares ESG 1-5 Year USD Corporate Bond ETF
3.63%2.80%1.73%1.30%1.91%2.82%3.05%1.22%0.00%0.00%0.00%0.00%
VCLT
Vanguard Long-Term Corporate Bond ETF
4.98%4.67%4.44%3.07%3.16%3.81%4.55%4.01%4.33%4.68%4.29%4.83%

Drawdowns

SUSB vs. VCLT - Drawdown Comparison

The maximum SUSB drawdown since its inception was -13.25%, smaller than the maximum VCLT drawdown of -34.31%. Use the drawdown chart below to compare losses from any high point for SUSB and VCLT. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.98%
-19.24%
SUSB
VCLT

Volatility

SUSB vs. VCLT - Volatility Comparison

The current volatility for iShares ESG 1-5 Year USD Corporate Bond ETF (SUSB) is 0.61%, while Vanguard Long-Term Corporate Bond ETF (VCLT) has a volatility of 3.56%. This indicates that SUSB experiences smaller price fluctuations and is considered to be less risky than VCLT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
0.61%
3.56%
SUSB
VCLT