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IBND vs. DGCFX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between IBND and DGCFX is 0.46, 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.


-0.50.00.51.00.5

Performance

IBND vs. DGCFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Bloomberg Barclays International Corporate Bond ETF (IBND) and DFA Global Core Plus Fixed Income Portfolio (DGCFX). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
0.26%
2.45%
IBND
DGCFX

Key characteristics

Sharpe Ratio

IBND:

-0.33

DGCFX:

0.87

Sortino Ratio

IBND:

-0.41

DGCFX:

1.24

Omega Ratio

IBND:

0.95

DGCFX:

1.15

Calmar Ratio

IBND:

-0.11

DGCFX:

0.31

Martin Ratio

IBND:

-0.73

DGCFX:

3.44

Ulcer Index

IBND:

3.51%

DGCFX:

1.07%

Daily Std Dev

IBND:

7.75%

DGCFX:

4.25%

Max Drawdown

IBND:

-35.63%

DGCFX:

-22.37%

Current Drawdown

IBND:

-20.94%

DGCFX:

-7.08%

Returns By Period

In the year-to-date period, IBND achieves a -2.47% return, which is significantly lower than DGCFX's 3.46% return.


IBND

YTD

-2.47%

1M

-0.49%

6M

0.27%

1Y

-2.57%

5Y*

-2.16%

10Y*

-1.14%

DGCFX

YTD

3.46%

1M

-0.07%

6M

2.45%

1Y

3.69%

5Y*

0.12%

10Y*

N/A

Compare stocks, funds, or ETFs

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


IBND vs. DGCFX - Expense Ratio Comparison

IBND has a 0.50% expense ratio, which is higher than DGCFX's 0.25% expense ratio.


IBND
SPDR Bloomberg Barclays International Corporate Bond ETF
Expense ratio chart for IBND: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for DGCFX: 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%

Risk-Adjusted Performance

IBND vs. DGCFX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Bloomberg Barclays International Corporate Bond ETF (IBND) and DFA Global Core Plus Fixed Income Portfolio (DGCFX). 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 IBND, currently valued at -0.33, compared to the broader market0.002.004.00-0.330.87
The chart of Sortino ratio for IBND, currently valued at -0.41, compared to the broader market-2.000.002.004.006.008.0010.00-0.411.24
The chart of Omega ratio for IBND, currently valued at 0.95, compared to the broader market0.501.001.502.002.503.000.951.15
The chart of Calmar ratio for IBND, currently valued at -0.11, compared to the broader market0.005.0010.0015.00-0.110.31
The chart of Martin ratio for IBND, currently valued at -0.73, compared to the broader market0.0020.0040.0060.0080.00100.00-0.733.44
IBND
DGCFX

The current IBND Sharpe Ratio is -0.33, which is lower than the DGCFX Sharpe Ratio of 0.87. The chart below compares the historical Sharpe Ratios of IBND and DGCFX, 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.33
0.87
IBND
DGCFX

Dividends

IBND vs. DGCFX - Dividend Comparison

IBND's dividend yield for the trailing twelve months is around 2.60%, less than DGCFX's 4.40% yield.


TTM20232022202120202019201820172016201520142013
IBND
SPDR Bloomberg Barclays International Corporate Bond ETF
2.60%2.08%0.54%0.37%0.45%0.67%0.70%0.34%0.01%0.01%1.66%1.24%
DGCFX
DFA Global Core Plus Fixed Income Portfolio
4.40%4.04%2.26%1.68%1.55%1.92%6.17%0.00%0.00%0.00%0.00%0.00%

Drawdowns

IBND vs. DGCFX - Drawdown Comparison

The maximum IBND drawdown since its inception was -35.63%, which is greater than DGCFX's maximum drawdown of -22.37%. Use the drawdown chart below to compare losses from any high point for IBND and DGCFX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%JulyAugustSeptemberOctoberNovemberDecember
-20.94%
-7.08%
IBND
DGCFX

Volatility

IBND vs. DGCFX - Volatility Comparison

SPDR Bloomberg Barclays International Corporate Bond ETF (IBND) has a higher volatility of 2.51% compared to DFA Global Core Plus Fixed Income Portfolio (DGCFX) at 1.28%. This indicates that IBND's price experiences larger fluctuations and is considered to be riskier than DGCFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%JulyAugustSeptemberOctoberNovemberDecember
2.51%
1.28%
IBND
DGCFX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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