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

Performance

EUSB vs. VTIP - 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 Vanguard Short-Term Inflation-Protected Securities ETF (VTIP). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.06%
3.08%
EUSB
VTIP

Returns By Period

In the year-to-date period, EUSB achieves a 1.95% return, which is significantly lower than VTIP's 4.57% return.


EUSB

YTD

1.95%

1M

-0.75%

6M

3.06%

1Y

6.49%

5Y (annualized)

N/A

10Y (annualized)

N/A

VTIP

YTD

4.57%

1M

0.16%

6M

3.08%

1Y

6.59%

5Y (annualized)

3.52%

10Y (annualized)

2.41%

Key characteristics


EUSBVTIP
Sharpe Ratio1.143.09
Sortino Ratio1.675.48
Omega Ratio1.201.71
Calmar Ratio0.484.88
Martin Ratio3.9523.66
Ulcer Index1.64%0.28%
Daily Std Dev5.68%2.13%
Max Drawdown-17.86%-6.27%
Current Drawdown-7.49%-0.45%

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. VTIP - Expense Ratio Comparison

EUSB has a 0.12% expense ratio, which is higher than VTIP's 0.04% 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 VTIP: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Correlation

-0.50.00.51.00.5

The correlation between EUSB and VTIP is 0.55, 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.

Risk-Adjusted Performance

EUSB vs. VTIP - 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 Short-Term Inflation-Protected Securities ETF (VTIP). 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 market0.002.004.001.143.09
The chart of Sortino ratio for EUSB, currently valued at 1.67, compared to the broader market-2.000.002.004.006.008.0010.0012.001.675.48
The chart of Omega ratio for EUSB, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.001.201.71
The chart of Calmar ratio for EUSB, currently valued at 0.48, compared to the broader market0.005.0010.0015.000.484.88
The chart of Martin ratio for EUSB, currently valued at 3.95, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.9523.66
EUSB
VTIP

The current EUSB Sharpe Ratio is 1.14, which is lower than the VTIP Sharpe Ratio of 3.09. The chart below compares the historical Sharpe Ratios of EUSB and VTIP, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.14
3.09
EUSB
VTIP

Dividends

EUSB vs. VTIP - Dividend Comparison

EUSB's dividend yield for the trailing twelve months is around 3.56%, more than VTIP's 3.38% 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%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
3.38%3.36%6.84%4.68%1.20%1.95%2.45%1.52%0.76%0.00%0.82%0.05%

Drawdowns

EUSB vs. VTIP - Drawdown Comparison

The maximum EUSB drawdown since its inception was -17.86%, which is greater than VTIP's maximum drawdown of -6.27%. Use the drawdown chart below to compare losses from any high point for EUSB and VTIP. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.49%
-0.45%
EUSB
VTIP

Volatility

EUSB vs. VTIP - Volatility Comparison

iShares ESG Advanced Total USD Bond Market ETF (EUSB) has a higher volatility of 1.81% compared to Vanguard Short-Term Inflation-Protected Securities ETF (VTIP) at 0.45%. This indicates that EUSB's price experiences larger fluctuations and is considered to be riskier than VTIP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
1.81%
0.45%
EUSB
VTIP