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

Key characteristics


BWZIAGG
YTD Return-4.21%3.65%
1Y Return0.20%7.79%
3Y Return (Ann)-4.32%0.04%
5Y Return (Ann)-2.42%0.56%
Sharpe Ratio0.192.21
Sortino Ratio0.333.44
Omega Ratio1.041.40
Calmar Ratio0.050.96
Martin Ratio0.4212.37
Ulcer Index3.39%0.70%
Daily Std Dev7.26%3.90%
Max Drawdown-34.22%-13.88%
Current Drawdown-28.49%-1.64%

Correlation

-0.50.00.51.00.2

The correlation between BWZ and IAGG is 0.22, 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

BWZ vs. IAGG - Performance Comparison

In the year-to-date period, BWZ achieves a -4.21% return, which is significantly lower than IAGG's 3.65% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
-0.65%
3.29%
BWZ
IAGG

Compare stocks, funds, or ETFs

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


BWZ vs. IAGG - Expense Ratio Comparison

BWZ has a 0.35% expense ratio, which is higher than IAGG's 0.09% expense ratio.


BWZ
SPDR Bloomberg Barclays Short Term International Treasury Bond ETF
Expense ratio chart for BWZ: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for IAGG: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

BWZ vs. IAGG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Bloomberg Barclays Short Term International Treasury Bond ETF (BWZ) and iShares Core International Aggregate Bond ETF (IAGG). 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.


BWZ
Sharpe ratio
The chart of Sharpe ratio for BWZ, currently valued at 0.19, compared to the broader market-2.000.002.004.006.000.19
Sortino ratio
The chart of Sortino ratio for BWZ, currently valued at 0.33, compared to the broader market-2.000.002.004.006.008.0010.0012.000.33
Omega ratio
The chart of Omega ratio for BWZ, currently valued at 1.04, compared to the broader market1.001.502.002.503.001.04
Calmar ratio
The chart of Calmar ratio for BWZ, currently valued at 0.07, compared to the broader market0.005.0010.0015.000.07
Martin ratio
The chart of Martin ratio for BWZ, currently valued at 0.42, compared to the broader market0.0020.0040.0060.0080.00100.00120.000.42
IAGG
Sharpe ratio
The chart of Sharpe ratio for IAGG, currently valued at 2.21, compared to the broader market-2.000.002.004.006.002.21
Sortino ratio
The chart of Sortino ratio for IAGG, currently valued at 3.44, compared to the broader market-2.000.002.004.006.008.0010.0012.003.44
Omega ratio
The chart of Omega ratio for IAGG, currently valued at 1.40, compared to the broader market1.001.502.002.503.001.40
Calmar ratio
The chart of Calmar ratio for IAGG, currently valued at 0.96, compared to the broader market0.005.0010.0015.000.96
Martin ratio
The chart of Martin ratio for IAGG, currently valued at 12.37, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.37

BWZ vs. IAGG - Sharpe Ratio Comparison

The current BWZ Sharpe Ratio is 0.19, which is lower than the IAGG Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of BWZ and IAGG, 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 Ratio-0.500.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
0.19
2.21
BWZ
IAGG

Dividends

BWZ vs. IAGG - Dividend Comparison

BWZ's dividend yield for the trailing twelve months is around 2.40%, less than IAGG's 3.43% yield.


TTM20232022202120202019201820172016201520142013
BWZ
SPDR Bloomberg Barclays Short Term International Treasury Bond ETF
2.40%1.62%0.44%0.60%0.13%0.44%1.10%0.40%0.13%0.06%0.20%0.09%
IAGG
iShares Core International Aggregate Bond ETF
3.43%3.55%2.28%1.16%1.95%2.82%3.02%1.74%1.56%0.13%0.00%0.00%

Drawdowns

BWZ vs. IAGG - Drawdown Comparison

The maximum BWZ drawdown since its inception was -34.22%, which is greater than IAGG's maximum drawdown of -13.88%. Use the drawdown chart below to compare losses from any high point for BWZ and IAGG. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-18.35%
-1.64%
BWZ
IAGG

Volatility

BWZ vs. IAGG - Volatility Comparison

SPDR Bloomberg Barclays Short Term International Treasury Bond ETF (BWZ) has a higher volatility of 3.05% compared to iShares Core International Aggregate Bond ETF (IAGG) at 0.99%. This indicates that BWZ's price experiences larger fluctuations and is considered to be riskier than IAGG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%JuneJulyAugustSeptemberOctoberNovember
3.05%
0.99%
BWZ
IAGG