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ICVT vs. CWB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

ICVT vs. CWB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Convertible Bond ETF (ICVT) and SPDR Bloomberg Barclays Convertible Securities ETF (CWB). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
13.50%
13.23%
ICVT
CWB

Returns By Period

The year-to-date returns for both stocks are quite close, with ICVT having a 13.93% return and CWB slightly lower at 13.24%.


ICVT

YTD

13.93%

1M

4.27%

6M

13.49%

1Y

22.48%

5Y (annualized)

11.70%

10Y (annualized)

N/A

CWB

YTD

13.24%

1M

4.11%

6M

13.23%

1Y

21.50%

5Y (annualized)

10.86%

10Y (annualized)

9.22%

Key characteristics


ICVTCWB
Sharpe Ratio2.722.64
Sortino Ratio3.863.75
Omega Ratio1.501.47
Calmar Ratio0.880.97
Martin Ratio14.6414.28
Ulcer Index1.55%1.52%
Daily Std Dev8.34%8.23%
Max Drawdown-33.25%-32.06%
Current Drawdown-9.22%-5.84%

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ICVT vs. CWB - Expense Ratio Comparison

ICVT has a 0.20% expense ratio, which is lower than CWB's 0.40% expense ratio.


CWB
SPDR Bloomberg Barclays Convertible Securities ETF
Expense ratio chart for CWB: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for ICVT: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Correlation

-0.50.00.51.00.8

The correlation between ICVT and CWB is 0.84, 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.

Risk-Adjusted Performance

ICVT vs. CWB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Convertible Bond ETF (ICVT) and SPDR Bloomberg Barclays Convertible Securities ETF (CWB). 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 ICVT, currently valued at 2.72, compared to the broader market0.002.004.002.722.64
The chart of Sortino ratio for ICVT, currently valued at 3.86, compared to the broader market-2.000.002.004.006.008.0010.003.863.75
The chart of Omega ratio for ICVT, currently valued at 1.50, compared to the broader market0.501.001.502.002.503.001.501.47
The chart of Calmar ratio for ICVT, currently valued at 0.88, compared to the broader market0.005.0010.0015.000.880.97
The chart of Martin ratio for ICVT, currently valued at 14.64, compared to the broader market0.0020.0040.0060.0080.00100.0014.6414.28
ICVT
CWB

The current ICVT Sharpe Ratio is 2.72, which is comparable to the CWB Sharpe Ratio of 2.64. The chart below compares the historical Sharpe Ratios of ICVT and CWB, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.72
2.64
ICVT
CWB

Dividends

ICVT vs. CWB - Dividend Comparison

ICVT's dividend yield for the trailing twelve months is around 2.23%, more than CWB's 1.69% yield.


TTM20232022202120202019201820172016201520142013
ICVT
iShares Convertible Bond ETF
2.23%1.84%1.93%7.70%3.98%1.86%4.82%2.56%3.06%1.57%0.00%0.00%
CWB
SPDR Bloomberg Barclays Convertible Securities ETF
1.69%1.97%2.21%1.97%2.34%3.03%6.17%4.25%4.60%7.52%7.36%3.66%

Drawdowns

ICVT vs. CWB - Drawdown Comparison

The maximum ICVT drawdown since its inception was -33.25%, roughly equal to the maximum CWB drawdown of -32.06%. Use the drawdown chart below to compare losses from any high point for ICVT and CWB. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%JuneJulyAugustSeptemberOctoberNovember
-9.22%
-5.84%
ICVT
CWB

Volatility

ICVT vs. CWB - Volatility Comparison

iShares Convertible Bond ETF (ICVT) and SPDR Bloomberg Barclays Convertible Securities ETF (CWB) have volatilities of 2.59% and 2.52%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%JuneJulyAugustSeptemberOctoberNovember
2.59%
2.52%
ICVT
CWB