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

Performance

BWZ vs. ISHG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Bloomberg Barclays Short Term International Treasury Bond ETF (BWZ) and iShares 1-3 Year International Treasury Bond ETF (ISHG). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
0.02%
0.04%
BWZ
ISHG

Returns By Period

In the year-to-date period, BWZ achieves a -4.14% return, which is significantly lower than ISHG's -3.08% return. Both investments have delivered pretty close results over the past 10 years, with BWZ having a -1.77% annualized return and ISHG not far ahead at -1.75%.


BWZ

YTD

-4.14%

1M

-2.28%

6M

0.02%

1Y

-0.35%

5Y (annualized)

-2.31%

10Y (annualized)

-1.77%

ISHG

YTD

-3.08%

1M

-2.55%

6M

0.04%

1Y

0.41%

5Y (annualized)

-1.94%

10Y (annualized)

-1.75%

Key characteristics


BWZISHG
Sharpe Ratio-0.06-0.00
Sortino Ratio-0.040.04
Omega Ratio1.001.00
Calmar Ratio-0.02-0.00
Martin Ratio-0.13-0.01
Ulcer Index3.53%2.94%
Daily Std Dev7.13%6.40%
Max Drawdown-34.22%-37.26%
Current Drawdown-28.43%-30.61%

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. ISHG - Expense Ratio Comparison

Both BWZ and ISHG have an expense ratio of 0.35%.


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 ISHG: 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%

Correlation

-0.50.00.51.00.8

The correlation between BWZ and ISHG is 0.78, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

BWZ vs. ISHG - 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 1-3 Year International Treasury Bond ETF (ISHG). 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 BWZ, currently valued at -0.06, compared to the broader market0.002.004.00-0.06-0.00
The chart of Sortino ratio for BWZ, currently valued at -0.04, compared to the broader market-2.000.002.004.006.008.0010.0012.00-0.040.04
The chart of Omega ratio for BWZ, currently valued at 1.00, compared to the broader market0.501.001.502.002.503.001.001.00
The chart of Calmar ratio for BWZ, currently valued at -0.02, compared to the broader market0.005.0010.0015.00-0.02-0.00
The chart of Martin ratio for BWZ, currently valued at -0.13, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-0.13-0.01
BWZ
ISHG

The current BWZ Sharpe Ratio is -0.06, which is lower than the ISHG Sharpe Ratio of -0.00. The chart below compares the historical Sharpe Ratios of BWZ and ISHG, 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-0.500.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
-0.06
-0.00
BWZ
ISHG

Dividends

BWZ vs. ISHG - Dividend Comparison

BWZ's dividend yield for the trailing twelve months is around 2.40%, more than ISHG's 0.19% 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%
ISHG
iShares 1-3 Year International Treasury Bond ETF
0.19%0.18%0.00%1.29%0.00%0.00%1.80%0.46%0.00%0.09%0.42%0.20%

Drawdowns

BWZ vs. ISHG - Drawdown Comparison

The maximum BWZ drawdown since its inception was -34.22%, smaller than the maximum ISHG drawdown of -37.26%. Use the drawdown chart below to compare losses from any high point for BWZ and ISHG. For additional features, visit the drawdowns tool.


-32.00%-30.00%-28.00%-26.00%-24.00%JuneJulyAugustSeptemberOctoberNovember
-28.43%
-30.61%
BWZ
ISHG

Volatility

BWZ vs. ISHG - Volatility Comparison

SPDR Bloomberg Barclays Short Term International Treasury Bond ETF (BWZ) has a higher volatility of 3.02% compared to iShares 1-3 Year International Treasury Bond ETF (ISHG) at 2.34%. This indicates that BWZ's price experiences larger fluctuations and is considered to be riskier than ISHG 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
3.02%
2.34%
BWZ
ISHG