CMBS vs. MBSD
CMBS (iShares CMBS ETF) and MBSD (FlexShares Disciplined Duration MBS Index Fund) are both Mortgage Backed Securities funds - CMBS tracks the Barclays Capital U.S. CMBS (ERISA Only) Index while MBSD tracks the ICE BofA Constrained Duration US Mortgage Backed Securities. Both are passively managed. Over the past 10 years, CMBS returned 2.06%/yr vs 1.37%/yr for MBSD. At a 0.40 correlation, their price movements are largely independent. CMBS charges 0.25%/yr vs 0.20%/yr for MBSD.
Performance
CMBS vs. MBSD - Performance Comparison
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Returns By Period
In the year-to-date period, CMBS achieves a 0.14% return, which is significantly lower than MBSD's 0.42% return. Over the past 10 years, CMBS has outperformed MBSD with an annualized return of 2.06%, while MBSD has yielded a comparatively lower 1.37% annualized return.
CMBS
- 1D
- -0.04%
- 1M
- -0.05%
- YTD
- 0.14%
- 6M
- 0.28%
- 1Y
- 4.26%
- 3Y*
- 5.15%
- 5Y*
- 0.79%
- 10Y*
- 2.06%
MBSD
- 1D
- -0.22%
- 1M
- 0.16%
- YTD
- 0.42%
- 6M
- 0.52%
- 1Y
- 5.26%
- 3Y*
- 4.31%
- 5Y*
- 0.62%
- 10Y*
- 1.37%
CMBS vs. MBSD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CMBS iShares CMBS ETF | 0.14% | 7.67% | 4.27% | 5.06% | -11.21% | -1.82% | 7.86% | 7.94% | 0.77% | 2.95% |
MBSD FlexShares Disciplined Duration MBS Index Fund | 0.42% | 7.12% | 2.30% | 4.46% | -9.49% | -1.40% | 5.43% | 6.05% | 0.32% | 0.86% |
Correlation
The correlation between CMBS and MBSD is 0.31, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.31 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.49 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.57 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.42 |
Correlation (All Time) Calculated using the full available price history since Sep 5, 2014 | 0.40 |
The correlation between CMBS and MBSD shifts across timeframes, from 0.31 (1 year) to 0.57 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
CMBS vs. MBSD — Risk / Return Rank
CMBS
MBSD
CMBS vs. MBSD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares CMBS ETF (CMBS) and FlexShares Disciplined Duration MBS Index Fund (MBSD). 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.
| CMBS | MBSD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.34 | ||
| Sortino ratioReturn per unit of downside risk | -0.46 | ||
| Omega ratioGain probability vs. loss probability | 1.20 | 1.27 | -0.07 |
| Calmar ratioReturn relative to maximum drawdown | 1.76 | 2.43 | -0.67 |
| Martin ratioReturn relative to average drawdown | 4.90 | 7.71 | -2.81 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CMBS | MBSD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.16 | 1.50 | -0.34 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.15 | 0.12 | +0.03 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.36 | 0.32 | +0.03 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.43 | 0.38 | +0.06 |
Drawdowns
CMBS vs. MBSD - Drawdown Comparison
The maximum CMBS drawdown since its inception was -15.87%, which is greater than MBSD's maximum drawdown of -14.36%. Use the drawdown chart below to compare losses from any high point for CMBS and MBSD.
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Drawdown Indicators
| CMBS | MBSD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.87% | -14.36% | -1.51% |
Max Drawdown (1Y)Largest decline over 1 year | -2.44% | -2.17% | -0.27% |
Max Drawdown (3Y)Largest decline over 3 years | -3.29% | -4.68% | +1.39% |
Max Drawdown (5Y)Largest decline over 5 years | -15.87% | -14.10% | -1.77% |
Max Drawdown (10Y)Largest decline over 10 years | -15.87% | -14.36% | -1.51% |
Current DrawdownCurrent decline from peak | -1.77% | -1.19% | -0.58% |
Average DrawdownAverage peak-to-trough decline | -2.95% | -2.81% | -0.14% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.87% | 0.68% | +0.19% |
Volatility
CMBS vs. MBSD - Volatility Comparison
iShares CMBS ETF (CMBS) and FlexShares Disciplined Duration MBS Index Fund (MBSD) have volatilities of 1.11% and 1.15%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CMBS | MBSD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.11% | 1.15% | -0.04% |
Volatility (6M)Calculated over the trailing 6-month period | 2.82% | 2.47% | +0.35% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.71% | 3.53% | +0.18% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.31% | 5.15% | +0.16% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.77% | 4.26% | +1.51% |
CMBS vs. MBSD - Expense Ratio Comparison
CMBS has a 0.25% expense ratio, which is higher than MBSD's 0.20% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
CMBS vs. MBSD - Dividend Comparison
CMBS's dividend yield for the trailing twelve months is around 3.58%, less than MBSD's 4.19% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CMBS iShares CMBS ETF | 3.58% | 3.45% | 3.31% | 2.97% | 2.65% | 2.46% | 2.83% | 2.74% | 2.70% | 2.50% | 2.29% | 2.31% |
MBSD FlexShares Disciplined Duration MBS Index Fund | 4.19% | 4.23% | 3.91% | 3.39% | 3.03% | 2.41% | 2.78% | 3.42% | 3.22% | 3.30% | 3.02% | 3.46% |
Frequently Asked Questions
CMBS and MBSD have a correlation of 0.31, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MBSD has higher volatility (1.15%) compared to CMBS (1.11%). In terms of maximum drawdown, CMBS dropped -15.87% vs MBSD's -14.36%.
On 10-year performance, CMBS leads with 2.06% vs 1.37% for MBSD. On fees, MBSD is cheaper at 0.20% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, CMBS has performed better with a 2.06% return vs 1.37%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
MBSD is cheaper with a 0.20% expense ratio, compared with 0.25% for CMBS.
MBSD has the higher dividend yield at 4.19%, compared with 3.58% for CMBS.
CMBS tracks Barclays Capital U.S. CMBS (ERISA Only) Index, while MBSD tracks ICE BofA Constrained Duration US Mortgage Backed Securities. They also come from different issuers: iShares and Northern Trust. Their fees differ too: 0.25% for CMBS and 0.20% for MBSD.
MBSD currently has the higher Sharpe Ratio (1.50 vs 1.16), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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