VCR vs. CSQ

Last updated Jun 14, 2026

VCR (Vanguard Consumer Discretionary ETF) and CSQ (Calamos Strategic Total Return Fund) are both funds - VCR is a Consumer Discretionary Equities fund tracking the MSCI US Investable Market Consumer Discretionary 25/50 Index, while CSQ is a Diversified Portfolio fund actively managed by Calamos. VCR is passively managed, while CSQ is actively managed. Over the past 10 years, VCR returned 13.76%/yr vs 16.38%/yr for CSQ. A 0.67 correlation means they provide meaningful diversification when combined. VCR charges 0.10%/yr vs 2.46%/yr for CSQ.

Performance

VCR vs. CSQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Consumer Discretionary ETF (VCR) and Calamos Strategic Total Return Fund (CSQ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, VCR achieves a -0.09% return, which is significantly lower than CSQ's 8.10% return. Over the past 10 years, VCR has underperformed CSQ with an annualized return of 13.76%, while CSQ has yielded a comparatively higher 16.38% annualized return.

VCR

• 1D: 0.20%
• 1M: 0.16%
• YTD: -0.09%
• 6M: -1.17%
• 1Y: 12.37%
• 3Y*: 13.30%
• 5Y*: 6.00%
• 10Y*: 13.76%

CSQ

• 1D: 1.27%
• 1M: -1.20%
• YTD: 8.10%
• 6M: 9.75%
• 1Y: 24.17%
• 3Y*: 20.54%
• 5Y*: 10.41%
• 10Y*: 16.38%

*Multi-year figures are annualized to reflect compound growth (CAGR)

VCR vs. CSQ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
VCR Vanguard Consumer Discretionary ETF	-0.09%	5.77%	24.27%	40.38%	-35.15%	24.86%	48.36%	27.45%	-2.31%	22.82%
CSQ Calamos Strategic Total Return Fund	8.10%	16.25%	28.11%	20.80%	-24.26%	30.77%	26.22%	38.62%	-4.89%	27.98%

Correlation

The correlation between VCR and CSQ is 0.71, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.71
Correlation (3Y) Calculated over the trailing 3-year period	0.72
Correlation (5Y) Calculated over the trailing 5-year period	0.75
Correlation (10Y) Calculated over the trailing 10-year period	0.72
Correlation (All Time) Calculated using the full available price history since Apr 1, 2004	0.67

The correlation between VCR and CSQ has been stable across timeframes, ranging from 0.67 to 0.75 - a consistent structural relationship.

Return for Risk

VCR vs. CSQ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

VCR

VCR Risk / Return Rank: 20
VCR Sharpe Ratio Rank: 20
VCR Sortino Ratio Rank: 20
VCR Omega Ratio Rank: 19
VCR Calmar Ratio Rank: 19
VCR Martin Ratio Rank: 21

CSQ

CSQ Risk / Return Rank: 36
CSQ Sharpe Ratio Rank: 42
CSQ Sortino Ratio Rank: 38
CSQ Omega Ratio Rank: 41
CSQ Calmar Ratio Rank: 25
CSQ Martin Ratio Rank: 34

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

VCR vs. CSQ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Consumer Discretionary ETF (VCR) and Calamos Strategic Total Return Fund (CSQ). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	VCR	CSQ	Difference
Sharpe ratio: Return per unit of total volatility	0.60	1.51	-0.91
Sortino ratio: Return per unit of downside risk	0.97	2.06	-1.10
Omega ratio: Gain probability vs. loss probability	1.11	1.27	-0.16
Calmar ratio: Return relative to maximum drawdown	0.72	1.49	-0.78
Martin ratio: Return relative to average drawdown	2.21	6.36	-4.15

VCR vs. CSQ - Sharpe Ratio Comparison

The current VCR Sharpe Ratio is 0.60, which is lower than the CSQ Sharpe Ratio of 1.51. The chart below compares the historical Sharpe Ratios of VCR and CSQ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

VCR vs. CSQ - Drawdown Comparison

The maximum VCR drawdown since its inception was -61.54%, smaller than the maximum CSQ drawdown of -67.17%. Use the drawdown chart below to compare losses from any high point for VCR and CSQ.

Drawdown Indicators

	VCR	CSQ	Difference
Max Drawdown Largest peak-to-trough decline	-61.54%	-67.17%	+5.63%
Max Drawdown (1Y) Largest decline over 1 year	-15.59%	-15.25%	-0.34%
Max Drawdown (3Y) Largest decline over 3 years	-27.36%	-24.18%	-3.18%
Max Drawdown (5Y) Largest decline over 5 years	-39.20%	-33.09%	-6.11%
Max Drawdown (10Y) Largest decline over 10 years	-39.20%	-48.21%	+9.01%
Current Drawdown Current decline from peak	-4.64%	-2.35%	-2.29%
Average Drawdown Average peak-to-trough decline	-9.39%	-9.33%	-0.06%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.05%	3.58%	+1.47%

Volatility

VCR vs. CSQ - Volatility Comparison

Vanguard Consumer Discretionary ETF (VCR) has a higher volatility of 6.17% compared to Calamos Strategic Total Return Fund (CSQ) at 5.74%. This indicates that VCR's price experiences larger fluctuations and is considered to be riskier than CSQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	VCR	CSQ	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.17%	5.74%	+0.43%
Volatility (6M) Calculated over the trailing 6-month period	13.48%	12.45%	+1.03%
Volatility (1Y) Calculated over the trailing 1-year period	18.62%	15.06%	+3.56%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	24.03%	20.06%	+3.97%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.43%	23.02%	-0.59%

VCR vs. CSQ - Expense Ratio Comparison

VCR has a 0.10% expense ratio, which is lower than CSQ's 2.46% expense ratio.

Dividends

VCR vs. CSQ - Dividend Comparison

VCR's dividend yield for the trailing twelve months is around 0.73%, less than CSQ's 6.72% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CSQ Calamos Strategic Total Return Fund	6.72%	6.51%	6.95%	8.27%	9.17%	6.38%	7.03%	7.14%	9.35%	8.20%	9.64%	10.00%
VCR Vanguard Consumer Discretionary ETF	0.73%	0.74%	0.74%	0.84%	0.98%	0.79%	1.71%	1.17%	1.37%	1.21%	1.60%	1.32%

Frequently Asked Questions

Can I hold both VCR and CSQ in my portfolio?

VCR and CSQ have a correlation of 0.71, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, VCR or CSQ?

VCR has higher volatility (6.17%) compared to CSQ (5.74%). In terms of maximum drawdown, VCR dropped -61.54% vs CSQ's -67.17%.

Which has better risk-adjusted returns?

CSQ currently has the higher Sharpe Ratio (1.51 vs 0.60), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.