PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
EUSB vs. VCEB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


EUSBVCEB
YTD Return2.69%3.46%
1Y Return8.40%10.58%
3Y Return (Ann)-1.86%-1.90%
Sharpe Ratio1.491.82
Sortino Ratio2.202.73
Omega Ratio1.261.32
Calmar Ratio0.590.68
Martin Ratio5.897.68
Ulcer Index1.48%1.42%
Daily Std Dev5.88%6.02%
Max Drawdown-17.86%-21.61%
Current Drawdown-6.82%-6.64%

Correlation

-0.50.00.51.00.9

The correlation between EUSB and VCEB is 0.90, 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

EUSB vs. VCEB - Performance Comparison

In the year-to-date period, EUSB achieves a 2.69% return, which is significantly lower than VCEB's 3.46% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.00%
4.59%
EUSB
VCEB

Compare stocks, funds, or ETFs

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


EUSB vs. VCEB - Expense Ratio Comparison

Both EUSB and VCEB have an expense ratio of 0.12%, making them cost-effective options compared to the broader market, where average expense ratios typically 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 VCEB: 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%

Risk-Adjusted Performance

EUSB vs. VCEB - 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 Vanguard ESG U.S. Corporate Bond ETF (VCEB). 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.


EUSB
Sharpe ratio
The chart of Sharpe ratio for EUSB, currently valued at 1.49, compared to the broader market-2.000.002.004.006.001.49
Sortino ratio
The chart of Sortino ratio for EUSB, currently valued at 2.20, compared to the broader market-2.000.002.004.006.008.0010.0012.002.20
Omega ratio
The chart of Omega ratio for EUSB, currently valued at 1.26, compared to the broader market1.001.502.002.503.001.26
Calmar ratio
The chart of Calmar ratio for EUSB, currently valued at 0.61, compared to the broader market0.005.0010.0015.000.61
Martin ratio
The chart of Martin ratio for EUSB, currently valued at 5.89, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.89
VCEB
Sharpe ratio
The chart of Sharpe ratio for VCEB, currently valued at 1.82, compared to the broader market-2.000.002.004.006.001.82
Sortino ratio
The chart of Sortino ratio for VCEB, currently valued at 2.73, compared to the broader market-2.000.002.004.006.008.0010.0012.002.73
Omega ratio
The chart of Omega ratio for VCEB, currently valued at 1.32, compared to the broader market1.001.502.002.503.001.32
Calmar ratio
The chart of Calmar ratio for VCEB, currently valued at 0.68, compared to the broader market0.005.0010.0015.000.68
Martin ratio
The chart of Martin ratio for VCEB, currently valued at 7.68, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.68

EUSB vs. VCEB - Sharpe Ratio Comparison

The current EUSB Sharpe Ratio is 1.49, which is comparable to the VCEB Sharpe Ratio of 1.82. The chart below compares the historical Sharpe Ratios of EUSB and VCEB, 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
1.49
1.82
EUSB
VCEB

Dividends

EUSB vs. VCEB - Dividend Comparison

EUSB's dividend yield for the trailing twelve months is around 3.53%, less than VCEB's 4.32% yield.


TTM2023202220212020
EUSB
iShares ESG Advanced Total USD Bond Market ETF
3.53%3.08%2.22%1.10%0.57%
VCEB
Vanguard ESG U.S. Corporate Bond ETF
4.32%3.70%2.82%1.69%0.43%

Drawdowns

EUSB vs. VCEB - Drawdown Comparison

The maximum EUSB drawdown since its inception was -17.86%, smaller than the maximum VCEB drawdown of -21.61%. Use the drawdown chart below to compare losses from any high point for EUSB and VCEB. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%JuneJulyAugustSeptemberOctoberNovember
-6.49%
-6.64%
EUSB
VCEB

Volatility

EUSB vs. VCEB - Volatility Comparison

iShares ESG Advanced Total USD Bond Market ETF (EUSB) has a higher volatility of 2.17% compared to Vanguard ESG U.S. Corporate Bond ETF (VCEB) at 1.84%. This indicates that EUSB's price experiences larger fluctuations and is considered to be riskier than VCEB 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
2.17%
1.84%
EUSB
VCEB