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CGBL vs. NTSX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

CGBL vs. NTSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Capital Group Core Balanced ETF (CGBL) and WisdomTree U.S. Efficient Core Fund (NTSX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.05%
12.64%
CGBL
NTSX

Returns By Period

In the year-to-date period, CGBL achieves a 17.18% return, which is significantly lower than NTSX's 22.54% return.


CGBL

YTD

17.18%

1M

0.99%

6M

9.06%

1Y

23.77%

5Y (annualized)

N/A

10Y (annualized)

N/A

NTSX

YTD

22.54%

1M

2.69%

6M

12.64%

1Y

29.88%

5Y (annualized)

11.92%

10Y (annualized)

N/A

Key characteristics


CGBLNTSX
Sharpe Ratio2.542.40
Sortino Ratio3.533.27
Omega Ratio1.471.42
Calmar Ratio4.022.02
Martin Ratio16.6615.57
Ulcer Index1.43%1.92%
Daily Std Dev9.39%12.46%
Max Drawdown-5.93%-31.34%
Current Drawdown-1.16%-0.69%

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CGBL vs. NTSX - Expense Ratio Comparison

CGBL has a 0.33% expense ratio, which is higher than NTSX's 0.20% expense ratio.


CGBL
Capital Group Core Balanced ETF
Expense ratio chart for CGBL: current value at 0.33% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.33%
Expense ratio chart for NTSX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Correlation

-0.50.00.51.00.9

The correlation between CGBL and NTSX is 0.88, 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

CGBL vs. NTSX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Capital Group Core Balanced ETF (CGBL) and WisdomTree U.S. Efficient Core Fund (NTSX). 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 CGBL, currently valued at 2.54, compared to the broader market0.002.004.002.542.40
The chart of Sortino ratio for CGBL, currently valued at 3.53, compared to the broader market-2.000.002.004.006.008.0010.0012.003.533.27
The chart of Omega ratio for CGBL, currently valued at 1.47, compared to the broader market0.501.001.502.002.503.001.471.42
The chart of Calmar ratio for CGBL, currently valued at 4.02, compared to the broader market0.005.0010.0015.0020.004.024.54
The chart of Martin ratio for CGBL, currently valued at 16.66, compared to the broader market0.0020.0040.0060.0080.00100.00120.0016.6615.57
CGBL
NTSX

The current CGBL Sharpe Ratio is 2.54, which is comparable to the NTSX Sharpe Ratio of 2.40. The chart below compares the historical Sharpe Ratios of CGBL and NTSX, 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 Ratio2.402.602.803.003.203.40Oct 06Oct 13Oct 20Oct 27Nov 03Nov 10Nov 17
2.54
2.40
CGBL
NTSX

Dividends

CGBL vs. NTSX - Dividend Comparison

CGBL's dividend yield for the trailing twelve months is around 1.67%, more than NTSX's 1.05% yield.


TTM202320222021202020192018
CGBL
Capital Group Core Balanced ETF
1.67%0.48%0.00%0.00%0.00%0.00%0.00%
NTSX
WisdomTree U.S. Efficient Core Fund
1.05%1.21%1.36%0.82%0.92%1.53%0.62%

Drawdowns

CGBL vs. NTSX - Drawdown Comparison

The maximum CGBL drawdown since its inception was -5.93%, smaller than the maximum NTSX drawdown of -31.34%. Use the drawdown chart below to compare losses from any high point for CGBL and NTSX. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.16%
-0.69%
CGBL
NTSX

Volatility

CGBL vs. NTSX - Volatility Comparison

The current volatility for Capital Group Core Balanced ETF (CGBL) is 2.81%, while WisdomTree U.S. Efficient Core Fund (NTSX) has a volatility of 3.76%. This indicates that CGBL experiences smaller price fluctuations and is considered to be less risky than NTSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.81%
3.76%
CGBL
NTSX