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FALN vs. IMTB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

FALN vs. IMTB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Fallen Angels USD Bond ETF (FALN) and iShares Core 5-10 Year USD Bond ETF (IMTB). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.36%
3.64%
FALN
IMTB

Returns By Period

In the year-to-date period, FALN achieves a 7.89% return, which is significantly higher than IMTB's 2.17% return.


FALN

YTD

7.89%

1M

0.42%

6M

5.83%

1Y

12.61%

5Y (annualized)

5.64%

10Y (annualized)

N/A

IMTB

YTD

2.17%

1M

-0.87%

6M

3.86%

1Y

7.36%

5Y (annualized)

-0.11%

10Y (annualized)

N/A

Key characteristics


FALNIMTB
Sharpe Ratio2.661.17
Sortino Ratio4.041.71
Omega Ratio1.521.21
Calmar Ratio1.790.53
Martin Ratio18.244.07
Ulcer Index0.70%1.78%
Daily Std Dev4.78%6.16%
Max Drawdown-29.22%-18.15%
Current Drawdown-0.55%-6.76%

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FALN vs. IMTB - Expense Ratio Comparison

FALN has a 0.25% expense ratio, which is higher than IMTB's 0.06% 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%.


FALN
iShares Fallen Angels USD Bond ETF
Expense ratio chart for FALN: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for IMTB: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Correlation

-0.50.00.51.00.4

The correlation between FALN and IMTB is 0.36, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

FALN vs. IMTB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Fallen Angels USD Bond ETF (FALN) and iShares Core 5-10 Year USD Bond ETF (IMTB). 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 FALN, currently valued at 2.66, compared to the broader market0.002.004.002.661.17
The chart of Sortino ratio for FALN, currently valued at 4.04, compared to the broader market-2.000.002.004.006.008.0010.004.041.71
The chart of Omega ratio for FALN, currently valued at 1.52, compared to the broader market0.501.001.502.002.503.001.521.21
The chart of Calmar ratio for FALN, currently valued at 1.79, compared to the broader market0.005.0010.0015.001.790.53
The chart of Martin ratio for FALN, currently valued at 18.24, compared to the broader market0.0020.0040.0060.0080.00100.0018.244.07
FALN
IMTB

The current FALN Sharpe Ratio is 2.66, which is higher than the IMTB Sharpe Ratio of 1.17. The chart below compares the historical Sharpe Ratios of FALN and IMTB, 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
2.66
1.17
FALN
IMTB

Dividends

FALN vs. IMTB - Dividend Comparison

FALN's dividend yield for the trailing twelve months is around 6.09%, more than IMTB's 4.36% yield.


TTM20232022202120202019201820172016
FALN
iShares Fallen Angels USD Bond ETF
6.09%5.38%5.08%3.39%5.14%5.35%5.97%6.99%3.54%
IMTB
iShares Core 5-10 Year USD Bond ETF
4.36%4.13%2.90%2.49%2.63%2.91%3.04%2.75%0.40%

Drawdowns

FALN vs. IMTB - Drawdown Comparison

The maximum FALN drawdown since its inception was -29.22%, which is greater than IMTB's maximum drawdown of -18.15%. Use the drawdown chart below to compare losses from any high point for FALN and IMTB. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.55%
-6.76%
FALN
IMTB

Volatility

FALN vs. IMTB - Volatility Comparison

The current volatility for iShares Fallen Angels USD Bond ETF (FALN) is 1.27%, while iShares Core 5-10 Year USD Bond ETF (IMTB) has a volatility of 1.51%. This indicates that FALN experiences smaller price fluctuations and is considered to be less risky than IMTB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
1.27%
1.51%
FALN
IMTB