PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SUSC vs. VTC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SUSCVTC
YTD Return2.45%2.72%
1Y Return10.45%10.62%
3Y Return (Ann)-2.28%-2.05%
5Y Return (Ann)0.38%0.50%
Sharpe Ratio1.671.72
Sortino Ratio2.472.57
Omega Ratio1.301.31
Calmar Ratio0.620.65
Martin Ratio6.606.86
Ulcer Index1.58%1.56%
Daily Std Dev6.26%6.21%
Max Drawdown-22.41%-22.05%
Current Drawdown-8.25%-7.60%

Correlation

-0.50.00.51.00.9

The correlation between SUSC and VTC is 0.92, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

SUSC vs. VTC - Performance Comparison

In the year-to-date period, SUSC achieves a 2.45% return, which is significantly lower than VTC's 2.72% 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%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.87%
4.10%
SUSC
VTC

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SUSC vs. VTC - Expense Ratio Comparison

SUSC has a 0.18% expense ratio, which is higher than VTC'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%.


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 VTC: 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

SUSC vs. VTC - 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 Total Corporate Bond ETF (VTC). 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 1.67, compared to the broader market-2.000.002.004.006.001.67
Sortino ratio
The chart of Sortino ratio for SUSC, currently valued at 2.47, compared to the broader market-2.000.002.004.006.008.0010.0012.002.47
Omega ratio
The chart of Omega ratio for SUSC, currently valued at 1.30, compared to the broader market1.001.502.002.503.001.30
Calmar ratio
The chart of Calmar ratio for SUSC, currently valued at 0.62, compared to the broader market0.005.0010.0015.000.62
Martin ratio
The chart of Martin ratio for SUSC, currently valued at 6.60, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.60
VTC
Sharpe ratio
The chart of Sharpe ratio for VTC, currently valued at 1.72, compared to the broader market-2.000.002.004.006.001.72
Sortino ratio
The chart of Sortino ratio for VTC, currently valued at 2.57, compared to the broader market-2.000.002.004.006.008.0010.0012.002.57
Omega ratio
The chart of Omega ratio for VTC, currently valued at 1.31, compared to the broader market1.001.502.002.503.001.31
Calmar ratio
The chart of Calmar ratio for VTC, currently valued at 0.65, compared to the broader market0.005.0010.0015.000.65
Martin ratio
The chart of Martin ratio for VTC, currently valued at 6.86, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.86

SUSC vs. VTC - Sharpe Ratio Comparison

The current SUSC Sharpe Ratio is 1.67, which is comparable to the VTC Sharpe Ratio of 1.72. The chart below compares the historical Sharpe Ratios of SUSC and VTC, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.67
1.72
SUSC
VTC

Dividends

SUSC vs. VTC - Dividend Comparison

SUSC's dividend yield for the trailing twelve months is around 4.24%, less than VTC's 4.34% yield.


TTM2023202220212020201920182017
SUSC
iShares ESG Aware USD Corporate Bond ETF
4.24%3.83%2.97%2.21%2.20%3.08%3.88%1.70%
VTC
Vanguard Total Corporate Bond ETF
4.34%3.81%3.13%2.36%2.69%3.34%3.54%0.55%

Drawdowns

SUSC vs. VTC - Drawdown Comparison

The maximum SUSC drawdown since its inception was -22.41%, roughly equal to the maximum VTC drawdown of -22.05%. Use the drawdown chart below to compare losses from any high point for SUSC and VTC. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%JuneJulyAugustSeptemberOctoberNovember
-8.25%
-7.60%
SUSC
VTC

Volatility

SUSC vs. VTC - Volatility Comparison

iShares ESG Aware USD Corporate Bond ETF (SUSC) and Vanguard Total Corporate Bond ETF (VTC) have volatilities of 2.09% and 2.09%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.20%1.40%1.60%1.80%2.00%JuneJulyAugustSeptemberOctoberNovember
2.09%
2.09%
SUSC
VTC