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

Performance

VRIG vs. SUSB - Performance Comparison

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

0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
2.95%
3.67%
VRIG
SUSB

Returns By Period

In the year-to-date period, VRIG achieves a 6.10% return, which is significantly higher than SUSB's 4.39% return.


VRIG

YTD

6.10%

1M

0.56%

6M

2.95%

1Y

7.13%

5Y (annualized)

3.52%

10Y (annualized)

N/A

SUSB

YTD

4.39%

1M

-0.22%

6M

3.67%

1Y

6.89%

5Y (annualized)

1.76%

10Y (annualized)

N/A

Key characteristics


VRIGSUSB
Sharpe Ratio9.032.69
Sortino Ratio19.474.23
Omega Ratio4.511.54
Calmar Ratio36.421.92
Martin Ratio243.2815.35
Ulcer Index0.03%0.46%
Daily Std Dev0.80%2.61%
Max Drawdown-13.04%-13.25%
Current Drawdown0.00%-1.05%

Compare stocks, funds, or ETFs

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


VRIG vs. SUSB - Expense Ratio Comparison

VRIG has a 0.30% expense ratio, which is higher than SUSB's 0.12% 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 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%

Correlation

-0.50.00.51.00.0

The correlation between VRIG and SUSB is 0.03, 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.

Risk-Adjusted Performance

VRIG vs. SUSB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Variable Rate Investment Grade ETF (VRIG) and iShares ESG 1-5 Year USD Corporate Bond ETF (SUSB). 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 VRIG, currently valued at 9.03, compared to the broader market0.002.004.009.032.69
The chart of Sortino ratio for VRIG, currently valued at 19.47, compared to the broader market-2.000.002.004.006.008.0010.0012.0019.474.23
The chart of Omega ratio for VRIG, currently valued at 4.51, compared to the broader market0.501.001.502.002.503.004.511.54
The chart of Calmar ratio for VRIG, currently valued at 36.42, compared to the broader market0.005.0010.0015.0036.421.92
The chart of Martin ratio for VRIG, currently valued at 243.28, compared to the broader market0.0020.0040.0060.0080.00100.00120.00243.2815.35
VRIG
SUSB

The current VRIG Sharpe Ratio is 9.03, which is higher than the SUSB Sharpe Ratio of 2.69. The chart below compares the historical Sharpe Ratios of VRIG and SUSB, 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 Ratio2.004.006.008.0010.00JuneJulyAugustSeptemberOctoberNovember
9.03
2.69
VRIG
SUSB

Dividends

VRIG vs. SUSB - Dividend Comparison

VRIG's dividend yield for the trailing twelve months is around 6.17%, more than SUSB's 3.63% yield.


TTM20232022202120202019201820172016
VRIG
Invesco Variable Rate Investment Grade ETF
6.17%5.96%2.39%0.77%1.56%3.13%2.89%2.31%0.60%
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%

Drawdowns

VRIG vs. SUSB - Drawdown Comparison

The maximum VRIG drawdown since its inception was -13.04%, roughly equal to the maximum SUSB drawdown of -13.25%. Use the drawdown chart below to compare losses from any high point for VRIG and SUSB. For additional features, visit the drawdowns tool.


-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember0
-1.05%
VRIG
SUSB

Volatility

VRIG vs. SUSB - Volatility Comparison

The current volatility for Invesco Variable Rate Investment Grade ETF (VRIG) is 0.20%, while iShares ESG 1-5 Year USD Corporate Bond ETF (SUSB) has a volatility of 0.61%. This indicates that VRIG experiences smaller price fluctuations and is considered to be less risky than SUSB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.20%0.30%0.40%0.50%0.60%0.70%0.80%JuneJulyAugustSeptemberOctoberNovember
0.20%
0.61%
VRIG
SUSB