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

Performance

EUSB vs. FTBFX - 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 Fidelity Total Bond Fund (FTBFX). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.28%
3.40%
EUSB
FTBFX

Returns By Period

In the year-to-date period, EUSB achieves a 2.29% return, which is significantly lower than FTBFX's 3.35% return.


EUSB

YTD

2.29%

1M

-1.20%

6M

3.28%

1Y

7.04%

5Y (annualized)

N/A

10Y (annualized)

N/A

FTBFX

YTD

3.35%

1M

-1.09%

6M

3.41%

1Y

8.27%

5Y (annualized)

0.56%

10Y (annualized)

2.02%

Key characteristics


EUSBFTBFX
Sharpe Ratio1.281.56
Sortino Ratio1.862.33
Omega Ratio1.221.28
Calmar Ratio0.540.70
Martin Ratio4.535.87
Ulcer Index1.60%1.47%
Daily Std Dev5.67%5.53%
Max Drawdown-17.86%-18.19%
Current Drawdown-7.19%-5.37%

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EUSB vs. FTBFX - Expense Ratio Comparison

EUSB has a 0.12% expense ratio, which is lower than FTBFX's 0.45% expense ratio.


FTBFX
Fidelity Total Bond Fund
Expense ratio chart for FTBFX: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
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%

Correlation

-0.50.00.51.00.9

The correlation between EUSB and FTBFX is 0.91, 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. FTBFX - 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 Fidelity Total Bond Fund (FTBFX). 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 1.27, compared to the broader market0.002.004.006.001.271.56
The chart of Sortino ratio for EUSB, currently valued at 1.85, compared to the broader market-2.000.002.004.006.008.0010.0012.001.862.33
The chart of Omega ratio for EUSB, currently valued at 1.22, compared to the broader market0.501.001.502.002.503.001.221.28
The chart of Calmar ratio for EUSB, currently valued at 0.55, compared to the broader market0.005.0010.0015.000.550.70
The chart of Martin ratio for EUSB, currently valued at 4.49, compared to the broader market0.0020.0040.0060.0080.00100.004.495.87
EUSB
FTBFX

The current EUSB Sharpe Ratio is 1.28, which is comparable to the FTBFX Sharpe Ratio of 1.56. The chart below compares the historical Sharpe Ratios of EUSB and FTBFX, 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.27
1.56
EUSB
FTBFX

Dividends

EUSB vs. FTBFX - Dividend Comparison

EUSB's dividend yield for the trailing twelve months is around 3.55%, less than FTBFX's 4.62% yield.


TTM20232022202120202019201820172016201520142013
EUSB
iShares ESG Advanced Total USD Bond Market ETF
3.55%3.08%2.22%1.10%0.57%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FTBFX
Fidelity Total Bond Fund
4.62%4.15%3.34%2.19%2.53%2.95%3.19%2.74%2.95%3.71%2.99%3.91%

Drawdowns

EUSB vs. FTBFX - Drawdown Comparison

The maximum EUSB drawdown since its inception was -17.86%, roughly equal to the maximum FTBFX drawdown of -18.19%. Use the drawdown chart below to compare losses from any high point for EUSB and FTBFX. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%JuneJulyAugustSeptemberOctoberNovember
-7.19%
-5.37%
EUSB
FTBFX

Volatility

EUSB vs. FTBFX - Volatility Comparison

iShares ESG Advanced Total USD Bond Market ETF (EUSB) has a higher volatility of 1.80% compared to Fidelity Total Bond Fund (FTBFX) at 1.38%. This indicates that EUSB's price experiences larger fluctuations and is considered to be riskier than FTBFX 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
1.80%
1.38%
EUSB
FTBFX