CWB vs. ICVT
Compare and contrast key facts about SPDR Bloomberg Barclays Convertible Securities ETF (CWB) and iShares Convertible Bond ETF (ICVT).
CWB and ICVT are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. CWB is a passively managed fund by State Street that tracks the performance of the Bloomberg US Convertibles Liquid Bond. It was launched on Apr 14, 2009. ICVT is a passively managed fund by iShares that tracks the performance of the Barclays U.S. Convertible Cash Pay Bond > $250MM Index. It was launched on Jun 2, 2015. Both CWB and ICVT are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CWB or ICVT.
Key characteristics
| CWB | ICVT | |
|---|---|---|
| YTD Return | 11.80% | 12.67% |
| 1Y Return | 22.72% | 23.75% |
| 3Y Return (Ann) | -1.53% | -1.74% |
| 5Y Return (Ann) | 10.79% | 11.60% |
| Sharpe Ratio | 2.77 | 2.85 |
| Sortino Ratio | 3.96 | 4.06 |
| Omega Ratio | 1.50 | 1.53 |
| Calmar Ratio | 0.95 | 0.87 |
| Martin Ratio | 15.17 | 15.51 |
| Ulcer Index | 1.52% | 1.55% |
| Daily Std Dev | 8.31% | 8.41% |
| Max Drawdown | -32.06% | -33.25% |
| Current Drawdown | -7.04% | -10.22% |
Correlation
The correlation between CWB and ICVT is 0.84, 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.
Performance
CWB vs. ICVT - Performance Comparison
In the year-to-date period, CWB achieves a 11.80% return, which is significantly lower than ICVT's 12.67% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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CWB vs. ICVT - Expense Ratio Comparison
CWB has a 0.40% expense ratio, which is higher than ICVT's 0.20% expense ratio.
Risk-Adjusted Performance
CWB vs. ICVT - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR Bloomberg Barclays Convertible Securities ETF (CWB) and iShares Convertible Bond ETF (ICVT). 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.
Dividends
CWB vs. ICVT - Dividend Comparison
CWB's dividend yield for the trailing twelve months is around 1.72%, less than ICVT's 2.25% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CWB SPDR Bloomberg Barclays Convertible Securities ETF | 1.72% | 1.97% | 2.21% | 1.97% | 2.34% | 3.03% | 6.17% | 4.25% | 4.60% | 7.52% | 7.36% | 3.66% |
ICVT iShares Convertible Bond ETF | 2.25% | 1.84% | 1.93% | 7.70% | 3.98% | 1.86% | 4.82% | 2.56% | 3.06% | 1.57% | 0.00% | 0.00% |
Drawdowns
CWB vs. ICVT - Drawdown Comparison
The maximum CWB drawdown since its inception was -32.06%, roughly equal to the maximum ICVT drawdown of -33.25%. Use the drawdown chart below to compare losses from any high point for CWB and ICVT. For additional features, visit the drawdowns tool.
Volatility
CWB vs. ICVT - Volatility Comparison
SPDR Bloomberg Barclays Convertible Securities ETF (CWB) and iShares Convertible Bond ETF (ICVT) have volatilities of 2.41% and 2.49%, 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.