HYG vs LQD: returns, Sharpe ratio and drawdown
Performance
HYG-3.40%LQD-8.03%
Summary
HYG vs LQD
Over the past year, HYG returned -3.40% against -8.03% for LQD. Over five years, HYG averaged -2.41% a year, compared with -5.14% for LQD. HYG had the higher Sharpe ratio over the past year (-1.85 vs -2.22), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -5.39% for HYG and -9.82% for LQD.
Current Drawdown
HYG-4.98%LQD-9.31%
Rolling Volatility
HYG+0.25%LQD+0.40%
METRICS
Correlation Matrix
Metrics
Risk Indicators
HYGLQD
Alpha
HYG
-11.09%
LQD
-15.82%
Beta
HYG
0.23x
LQD
0.21x
Sharpe
HYG
-1.85
LQD
-2.22
Sortino
HYG
-2.33
LQD
-2.70
Omega
HYG
0.73
LQD
0.69
Calmar
HYG
-0.63
LQD
-0.82
Martin
HYG
-4.06
LQD
-3.02
Comparisons