USIG vs LQD: returns, Sharpe ratio and drawdown
Performance
USIG-6.50%LQD-8.12%
Summary
USIG vs LQD
Over the past year, USIG returned -6.50% against -8.12% for LQD. Over five years, USIG averaged -4.01% a year, compared with -5.01% for LQD. LQD had the higher Sharpe ratio over the past year (-2.25 vs -2.44), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.88% for USIG and -9.82% for LQD.
Current Drawdown
USIG-6.70%LQD-8.43%
Rolling Volatility
USIG+0.33%LQD+0.41%
METRICS
Correlation Matrix
Metrics
Risk Indicators
USIGLQD
Alpha
USIG
-12.74%
LQD
-14.90%
Beta
USIG
0.17x
LQD
0.21x
Sharpe
USIG
-2.44
LQD
-2.25
Sortino
USIG
-2.94
LQD
-2.77
Omega
USIG
0.67
LQD
0.69
Calmar
USIG
-0.83
LQD
-0.83
Martin
USIG
-3.22
LQD
-2.92
Comparisons