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EAGG vs. VTEB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EAGG and VTEB is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.7

Performance

EAGG vs. VTEB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Aware US Aggregate Bond ETF (EAGG) and Vanguard Tax-Exempt Bond ETF (VTEB). The values are adjusted to include any dividend payments, if applicable.

-1.00%0.00%1.00%2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
1.34%
1.30%
EAGG
VTEB

Key characteristics

Sharpe Ratio

EAGG:

0.27

VTEB:

0.36

Sortino Ratio

EAGG:

0.41

VTEB:

0.52

Omega Ratio

EAGG:

1.05

VTEB:

1.07

Calmar Ratio

EAGG:

0.11

VTEB:

0.30

Martin Ratio

EAGG:

0.75

VTEB:

1.44

Ulcer Index

EAGG:

1.95%

VTEB:

0.96%

Daily Std Dev

EAGG:

5.47%

VTEB:

3.83%

Max Drawdown

EAGG:

-18.74%

VTEB:

-17.00%

Current Drawdown

EAGG:

-9.47%

VTEB:

-1.87%

Returns By Period

In the year-to-date period, EAGG achieves a 1.19% return, which is significantly higher than VTEB's 1.03% return.


EAGG

YTD

1.19%

1M

-0.27%

6M

1.34%

1Y

1.42%

5Y*

-0.42%

10Y*

N/A

VTEB

YTD

1.03%

1M

-0.70%

6M

1.26%

1Y

1.38%

5Y*

1.00%

10Y*

N/A

Compare stocks, funds, or ETFs

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


EAGG vs. VTEB - Expense Ratio Comparison

EAGG has a 0.10% expense ratio, which is higher than VTEB's 0.05% 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%.


EAGG
iShares ESG Aware US Aggregate Bond ETF
Expense ratio chart for EAGG: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
Expense ratio chart for VTEB: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

EAGG vs. VTEB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware US Aggregate Bond ETF (EAGG) and Vanguard Tax-Exempt Bond ETF (VTEB). 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 EAGG, currently valued at 0.27, compared to the broader market0.002.004.000.270.36
The chart of Sortino ratio for EAGG, currently valued at 0.41, compared to the broader market-2.000.002.004.006.008.0010.000.410.52
The chart of Omega ratio for EAGG, currently valued at 1.05, compared to the broader market0.501.001.502.002.503.001.051.07
The chart of Calmar ratio for EAGG, currently valued at 0.11, compared to the broader market0.005.0010.0015.000.110.30
The chart of Martin ratio for EAGG, currently valued at 0.75, compared to the broader market0.0020.0040.0060.0080.00100.000.751.44
EAGG
VTEB

The current EAGG Sharpe Ratio is 0.27, which is comparable to the VTEB Sharpe Ratio of 0.36. The chart below compares the historical Sharpe Ratios of EAGG and VTEB, 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 Ratio0.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.27
0.36
EAGG
VTEB

Dividends

EAGG vs. VTEB - Dividend Comparison

EAGG's dividend yield for the trailing twelve months is around 3.93%, more than VTEB's 3.12% yield.


TTM202320222021202020192018201720162015
EAGG
iShares ESG Aware US Aggregate Bond ETF
3.93%3.24%2.07%1.09%1.82%3.17%0.61%0.00%0.00%0.00%
VTEB
Vanguard Tax-Exempt Bond ETF
3.12%2.79%2.09%1.65%1.99%2.30%2.25%1.96%1.66%0.58%

Drawdowns

EAGG vs. VTEB - Drawdown Comparison

The maximum EAGG drawdown since its inception was -18.74%, which is greater than VTEB's maximum drawdown of -17.00%. Use the drawdown chart below to compare losses from any high point for EAGG and VTEB. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.47%
-1.87%
EAGG
VTEB

Volatility

EAGG vs. VTEB - Volatility Comparison

iShares ESG Aware US Aggregate Bond ETF (EAGG) has a higher volatility of 1.62% compared to Vanguard Tax-Exempt Bond ETF (VTEB) at 1.19%. This indicates that EAGG's price experiences larger fluctuations and is considered to be riskier than VTEB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JulyAugustSeptemberOctoberNovemberDecember
1.62%
1.19%
EAGG
VTEB
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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