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SUSC vs. VIG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SUSCVIG
YTD Return3.34%20.77%
1Y Return11.87%31.87%
3Y Return (Ann)-2.40%8.80%
5Y Return (Ann)0.70%13.12%
Sharpe Ratio1.753.08
Sortino Ratio2.594.32
Omega Ratio1.311.57
Calmar Ratio0.645.47
Martin Ratio7.0320.34
Ulcer Index1.56%1.52%
Daily Std Dev6.28%10.07%
Max Drawdown-22.41%-46.81%
Current Drawdown-7.45%0.00%

Correlation

-0.50.00.51.00.2

The correlation between SUSC and VIG is 0.18, 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

SUSC vs. VIG - Performance Comparison

In the year-to-date period, SUSC achieves a 3.34% return, which is significantly lower than VIG's 20.77% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.11%
13.25%
SUSC
VIG

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SUSC vs. VIG - Expense Ratio Comparison

SUSC has a 0.18% expense ratio, which is higher than VIG's 0.06% 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%.


SUSC
iShares ESG Aware USD Corporate Bond ETF
Expense ratio chart for SUSC: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
Expense ratio chart for VIG: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

SUSC vs. VIG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware USD Corporate Bond ETF (SUSC) and Vanguard Dividend Appreciation ETF (VIG). 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.


SUSC
Sharpe ratio
The chart of Sharpe ratio for SUSC, currently valued at 1.75, compared to the broader market-2.000.002.004.006.001.75
Sortino ratio
The chart of Sortino ratio for SUSC, currently valued at 2.59, compared to the broader market-2.000.002.004.006.008.0010.0012.002.59
Omega ratio
The chart of Omega ratio for SUSC, currently valued at 1.31, compared to the broader market1.001.502.002.503.001.31
Calmar ratio
The chart of Calmar ratio for SUSC, currently valued at 0.64, compared to the broader market0.005.0010.0015.000.64
Martin ratio
The chart of Martin ratio for SUSC, currently valued at 7.03, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.03
VIG
Sharpe ratio
The chart of Sharpe ratio for VIG, currently valued at 3.08, compared to the broader market-2.000.002.004.006.003.08
Sortino ratio
The chart of Sortino ratio for VIG, currently valued at 4.32, compared to the broader market-2.000.002.004.006.008.0010.0012.004.32
Omega ratio
The chart of Omega ratio for VIG, currently valued at 1.57, compared to the broader market1.001.502.002.503.001.57
Calmar ratio
The chart of Calmar ratio for VIG, currently valued at 5.47, compared to the broader market0.005.0010.0015.005.47
Martin ratio
The chart of Martin ratio for VIG, currently valued at 20.34, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.34

SUSC vs. VIG - Sharpe Ratio Comparison

The current SUSC Sharpe Ratio is 1.75, which is lower than the VIG Sharpe Ratio of 3.08. The chart below compares the historical Sharpe Ratios of SUSC and VIG, 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
1.75
3.08
SUSC
VIG

Dividends

SUSC vs. VIG - Dividend Comparison

SUSC's dividend yield for the trailing twelve months is around 4.21%, more than VIG's 1.68% yield.


TTM20232022202120202019201820172016201520142013
SUSC
iShares ESG Aware USD Corporate Bond ETF
4.21%3.83%2.97%2.21%2.20%3.08%3.88%1.70%0.00%0.00%0.00%0.00%
VIG
Vanguard Dividend Appreciation ETF
1.68%1.88%1.96%1.55%1.63%1.71%2.08%1.88%2.14%2.34%1.95%1.84%

Drawdowns

SUSC vs. VIG - Drawdown Comparison

The maximum SUSC drawdown since its inception was -22.41%, smaller than the maximum VIG drawdown of -46.81%. Use the drawdown chart below to compare losses from any high point for SUSC and VIG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.45%
0
SUSC
VIG

Volatility

SUSC vs. VIG - Volatility Comparison

The current volatility for iShares ESG Aware USD Corporate Bond ETF (SUSC) is 1.97%, while Vanguard Dividend Appreciation ETF (VIG) has a volatility of 3.64%. This indicates that SUSC experiences smaller price fluctuations and is considered to be less risky than VIG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
1.97%
3.64%
SUSC
VIG