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VRIG vs. FLTR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VRIGFLTR
YTD Return5.76%6.40%
1Y Return7.16%7.64%
3Y Return (Ann)4.69%4.76%
5Y Return (Ann)3.45%3.38%
Sharpe Ratio8.947.26
Sortino Ratio19.2311.77
Omega Ratio4.423.76
Calmar Ratio36.2510.31
Martin Ratio240.88113.75
Ulcer Index0.03%0.07%
Daily Std Dev0.81%1.05%
Max Drawdown-13.04%-17.84%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.2

The correlation between VRIG and FLTR is 0.19, 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

VRIG vs. FLTR - Performance Comparison

In the year-to-date period, VRIG achieves a 5.76% return, which is significantly lower than FLTR's 6.40% 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%0.50%1.00%1.50%2.00%2.50%3.00%3.50%JuneJulyAugustSeptemberOctoberNovember
2.90%
3.15%
VRIG
FLTR

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VRIG vs. FLTR - Expense Ratio Comparison

VRIG has a 0.30% expense ratio, which is higher than FLTR's 0.14% expense ratio.


VRIG
Invesco Variable Rate Investment Grade ETF
Expense ratio chart for VRIG: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
Expense ratio chart for FLTR: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%

Risk-Adjusted Performance

VRIG vs. FLTR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Variable Rate Investment Grade ETF (VRIG) and VanEck Vectors Investment Grade Floating Rate ETF (FLTR). 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.


VRIG
Sharpe ratio
The chart of Sharpe ratio for VRIG, currently valued at 8.94, compared to the broader market-2.000.002.004.006.008.94
Sortino ratio
The chart of Sortino ratio for VRIG, currently valued at 19.23, compared to the broader market-2.000.002.004.006.008.0010.0012.0019.23
Omega ratio
The chart of Omega ratio for VRIG, currently valued at 4.42, compared to the broader market1.001.502.002.503.004.42
Calmar ratio
The chart of Calmar ratio for VRIG, currently valued at 36.25, compared to the broader market0.005.0010.0015.0036.25
Martin ratio
The chart of Martin ratio for VRIG, currently valued at 240.88, compared to the broader market0.0020.0040.0060.0080.00100.00240.88
FLTR
Sharpe ratio
The chart of Sharpe ratio for FLTR, currently valued at 7.26, compared to the broader market-2.000.002.004.006.007.26
Sortino ratio
The chart of Sortino ratio for FLTR, currently valued at 11.77, compared to the broader market-2.000.002.004.006.008.0010.0012.0011.77
Omega ratio
The chart of Omega ratio for FLTR, currently valued at 3.76, compared to the broader market1.001.502.002.503.003.76
Calmar ratio
The chart of Calmar ratio for FLTR, currently valued at 10.31, compared to the broader market0.005.0010.0015.0010.31
Martin ratio
The chart of Martin ratio for FLTR, currently valued at 113.75, compared to the broader market0.0020.0040.0060.0080.00100.00113.75

VRIG vs. FLTR - Sharpe Ratio Comparison

The current VRIG Sharpe Ratio is 8.94, which is comparable to the FLTR Sharpe Ratio of 7.26. The chart below compares the historical Sharpe Ratios of VRIG and FLTR, 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 Ratio6.007.008.009.0010.00JuneJulyAugustSeptemberOctoberNovember
8.94
7.26
VRIG
FLTR

Dividends

VRIG vs. FLTR - Dividend Comparison

VRIG's dividend yield for the trailing twelve months is around 6.19%, more than FLTR's 6.11% yield.


TTM20232022202120202019201820172016201520142013
VRIG
Invesco Variable Rate Investment Grade ETF
6.19%5.96%2.39%0.77%1.56%3.13%2.89%2.31%0.60%0.00%0.00%0.00%
FLTR
VanEck Vectors Investment Grade Floating Rate ETF
6.11%6.08%2.30%0.63%1.49%3.05%2.67%1.69%1.16%0.71%0.66%0.65%

Drawdowns

VRIG vs. FLTR - Drawdown Comparison

The maximum VRIG drawdown since its inception was -13.04%, smaller than the maximum FLTR drawdown of -17.84%. Use the drawdown chart below to compare losses from any high point for VRIG and FLTR. For additional features, visit the drawdowns tool.


-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember00
VRIG
FLTR

Volatility

VRIG vs. FLTR - Volatility Comparison

The current volatility for Invesco Variable Rate Investment Grade ETF (VRIG) is 0.22%, while VanEck Vectors Investment Grade Floating Rate ETF (FLTR) has a volatility of 0.27%. This indicates that VRIG experiences smaller price fluctuations and is considered to be less risky than FLTR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.10%0.20%0.30%0.40%0.50%0.60%0.70%JuneJulyAugustSeptemberOctoberNovember
0.22%
0.27%
VRIG
FLTR