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EUSB vs. AGG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

EUSB vs. AGG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Advanced Total USD Bond Market ETF (EUSB) and iShares Core U.S. Aggregate Bond ETF (AGG). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.06%
3.50%
EUSB
AGG

Returns By Period

The year-to-date returns for both stocks are quite close, with EUSB having a 1.95% return and AGG slightly lower at 1.93%.


EUSB

YTD

1.95%

1M

-0.75%

6M

3.06%

1Y

6.49%

5Y (annualized)

N/A

10Y (annualized)

N/A

AGG

YTD

1.93%

1M

-0.49%

6M

3.50%

1Y

6.44%

5Y (annualized)

-0.23%

10Y (annualized)

1.44%

Key characteristics


EUSBAGG
Sharpe Ratio1.141.12
Sortino Ratio1.671.63
Omega Ratio1.201.20
Calmar Ratio0.480.45
Martin Ratio3.953.61
Ulcer Index1.64%1.78%
Daily Std Dev5.68%5.76%
Max Drawdown-17.86%-18.43%
Current Drawdown-7.49%-8.38%

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EUSB vs. AGG - Expense Ratio Comparison

EUSB has a 0.12% expense ratio, which is higher than AGG'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%.


EUSB
iShares ESG Advanced Total USD Bond Market ETF
Expense ratio chart for EUSB: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for AGG: 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%

Correlation

-0.50.00.51.00.9

The correlation between EUSB and AGG is 0.95, 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

EUSB vs. AGG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Advanced Total USD Bond Market ETF (EUSB) and iShares Core U.S. Aggregate Bond ETF (AGG). 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 EUSB, currently valued at 1.14, compared to the broader market0.002.004.001.141.12
The chart of Sortino ratio for EUSB, currently valued at 1.67, compared to the broader market-2.000.002.004.006.008.0010.0012.001.671.63
The chart of Omega ratio for EUSB, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.001.201.20
The chart of Calmar ratio for EUSB, currently valued at 0.48, compared to the broader market0.005.0010.0015.000.480.45
The chart of Martin ratio for EUSB, currently valued at 3.95, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.953.61
EUSB
AGG

The current EUSB Sharpe Ratio is 1.14, which is comparable to the AGG Sharpe Ratio of 1.12. The chart below compares the historical Sharpe Ratios of EUSB and AGG, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.14
1.12
EUSB
AGG

Dividends

EUSB vs. AGG - Dividend Comparison

EUSB's dividend yield for the trailing twelve months is around 3.56%, less than AGG's 3.95% yield.


TTM20232022202120202019201820172016201520142013
EUSB
iShares ESG Advanced Total USD Bond Market ETF
3.56%3.08%2.22%1.10%0.57%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AGG
iShares Core U.S. Aggregate Bond ETF
3.95%3.13%2.39%1.77%2.14%2.70%2.96%2.32%2.39%2.45%2.40%2.32%

Drawdowns

EUSB vs. AGG - Drawdown Comparison

The maximum EUSB drawdown since its inception was -17.86%, roughly equal to the maximum AGG drawdown of -18.43%. Use the drawdown chart below to compare losses from any high point for EUSB and AGG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%JuneJulyAugustSeptemberOctoberNovember
-7.49%
-8.38%
EUSB
AGG

Volatility

EUSB vs. AGG - Volatility Comparison

iShares ESG Advanced Total USD Bond Market ETF (EUSB) has a higher volatility of 1.81% compared to iShares Core U.S. Aggregate Bond ETF (AGG) at 1.49%. This indicates that EUSB's price experiences larger fluctuations and is considered to be riskier than AGG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.20%1.40%1.60%1.80%2.00%2.20%JuneJulyAugustSeptemberOctoberNovember
1.81%
1.49%
EUSB
AGG