GNMA vs. MBSD
GNMA (iShares GNMA Bond ETF) and MBSD (FlexShares Disciplined Duration MBS Index Fund) are both Mortgage Backed Securities funds - GNMA tracks the Barclays Capital GNMA Index while MBSD tracks the ICE BofA Constrained Duration US Mortgage Backed Securities. Both are passively managed. Over the past 10 years, GNMA returned 1.23%/yr vs 1.41%/yr for MBSD. A 0.55 correlation means they provide meaningful diversification when combined. GNMA charges 0.15%/yr vs 0.20%/yr for MBSD.
Performance
GNMA vs. MBSD - Performance Comparison
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Returns By Period
In the year-to-date period, GNMA achieves a 0.67% return, which is significantly higher than MBSD's 0.52% return. Over the past 10 years, GNMA has underperformed MBSD with an annualized return of 1.23%, while MBSD has yielded a comparatively higher 1.41% annualized return.
GNMA
- 1D
- 0.11%
- 1M
- 0.08%
- YTD
- 0.67%
- 6M
- 1.08%
- 1Y
- 5.88%
- 3Y*
- 4.33%
- 5Y*
- 0.55%
- 10Y*
- 1.23%
MBSD
- 1D
- 0.10%
- 1M
- 0.16%
- YTD
- 0.52%
- 6M
- 0.84%
- 1Y
- 4.80%
- 3Y*
- 4.29%
- 5Y*
- 0.64%
- 10Y*
- 1.41%
GNMA vs. MBSD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GNMA iShares GNMA Bond ETF | 0.67% | 8.25% | 1.07% | 5.34% | -10.83% | -1.86% | 3.51% | 5.85% | 0.85% | 1.74% |
MBSD FlexShares Disciplined Duration MBS Index Fund | 0.52% | 7.12% | 2.30% | 4.46% | -9.49% | -1.40% | 5.43% | 6.05% | 0.32% | 0.86% |
Correlation
The correlation between GNMA and MBSD is 0.75, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.75 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.83 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.82 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.61 |
Correlation (All Time) Calculated using the full available price history since Sep 5, 2014 | 0.55 |
The correlation between GNMA and MBSD shifts across timeframes, from 0.55 (all time) to 0.83 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
GNMA vs. MBSD — Risk / Return Rank
GNMA
MBSD
GNMA vs. MBSD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares GNMA Bond ETF (GNMA) and FlexShares Disciplined Duration MBS Index Fund (MBSD). 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.
| GNMA | MBSD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.01 | ||
| Sortino ratioReturn per unit of downside risk | +0.08 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 1.25 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 2.26 | 2.22 | +0.05 |
| Martin ratioReturn relative to average drawdown | 7.20 | 7.02 | +0.18 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| GNMA | MBSD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.40 | 1.38 | +0.01 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.08 | 0.13 | -0.04 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.24 | 0.33 | -0.09 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.25 | 0.38 | -0.13 |
Drawdowns
GNMA vs. MBSD - Drawdown Comparison
The maximum GNMA drawdown since its inception was -17.09%, which is greater than MBSD's maximum drawdown of -14.36%. Use the drawdown chart below to compare losses from any high point for GNMA and MBSD.
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Drawdown Indicators
| GNMA | MBSD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.09% | -14.36% | -2.73% |
Max Drawdown (1Y)Largest decline over 1 year | -2.61% | -2.17% | -0.44% |
Max Drawdown (3Y)Largest decline over 3 years | -7.13% | -4.68% | -2.45% |
Max Drawdown (5Y)Largest decline over 5 years | -15.83% | -14.10% | -1.73% |
Max Drawdown (10Y)Largest decline over 10 years | -17.09% | -14.36% | -2.73% |
Current DrawdownCurrent decline from peak | -1.30% | -1.09% | -0.21% |
Average DrawdownAverage peak-to-trough decline | -3.66% | -2.81% | -0.85% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.82% | 0.69% | +0.13% |
Volatility
GNMA vs. MBSD - Volatility Comparison
iShares GNMA Bond ETF (GNMA) has a higher volatility of 1.54% compared to FlexShares Disciplined Duration MBS Index Fund (MBSD) at 1.15%. This indicates that GNMA's price experiences larger fluctuations and is considered to be riskier than MBSD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GNMA | MBSD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.54% | 1.15% | +0.39% |
Volatility (6M)Calculated over the trailing 6-month period | 3.14% | 2.47% | +0.67% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.29% | 3.52% | +0.77% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.61% | 5.15% | +1.46% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.13% | 4.26% | +0.87% |
GNMA vs. MBSD - Expense Ratio Comparison
GNMA has a 0.15% expense ratio, which is lower than MBSD's 0.20% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
GNMA vs. MBSD - Dividend Comparison
GNMA's dividend yield for the trailing twelve months is around 4.23%, which matches MBSD's 4.19% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GNMA iShares GNMA Bond ETF | 4.23% | 4.19% | 4.15% | 3.43% | 2.01% | 0.64% | 1.89% | 2.61% | 2.41% | 2.15% | 1.89% | 1.50% |
MBSD FlexShares Disciplined Duration MBS Index Fund | 4.19% | 4.23% | 3.91% | 3.39% | 3.03% | 2.41% | 2.78% | 3.42% | 3.22% | 3.30% | 3.02% | 3.46% |
Frequently Asked Questions
GNMA and MBSD have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GNMA has higher volatility (1.54%) compared to MBSD (1.15%). In terms of maximum drawdown, GNMA dropped -17.09% vs MBSD's -14.36%.
On 10-year performance, MBSD leads with 1.41% vs 1.23% for GNMA. On fees, GNMA is cheaper at 0.15% per year. On volatility, MBSD has been the lower-risk option at 1.15%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, MBSD has performed better with a 1.41% return vs 1.23%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
GNMA is cheaper with a 0.15% expense ratio, compared with 0.20% for MBSD.
GNMA has the higher dividend yield at 4.23%, compared with 4.19% for MBSD.
GNMA tracks Barclays Capital GNMA Index, while MBSD tracks ICE BofA Constrained Duration US Mortgage Backed Securities. They also come from different issuers: iShares and Northern Trust. Their fees differ too: 0.15% for GNMA and 0.20% for MBSD.
GNMA currently has the higher Sharpe Ratio (1.40 vs 1.38), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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