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

Performance

ICVT vs. EMB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Convertible Bond ETF (ICVT) and iShares J.P. Morgan USD Emerging Markets Bond ETF (EMB). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.01%
4.56%
ICVT
EMB

Returns By Period

In the year-to-date period, ICVT achieves a 13.52% return, which is significantly higher than EMB's 6.51% return.


ICVT

YTD

13.52%

1M

3.87%

6M

12.01%

1Y

22.28%

5Y (annualized)

11.63%

10Y (annualized)

N/A

EMB

YTD

6.51%

1M

-0.11%

6M

4.57%

1Y

12.84%

5Y (annualized)

0.32%

10Y (annualized)

2.47%

Key characteristics


ICVTEMB
Sharpe Ratio2.611.71
Sortino Ratio3.712.48
Omega Ratio1.481.30
Calmar Ratio0.840.74
Martin Ratio14.058.98
Ulcer Index1.55%1.43%
Daily Std Dev8.35%7.50%
Max Drawdown-33.25%-34.70%
Current Drawdown-9.54%-6.70%

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ICVT vs. EMB - Expense Ratio Comparison

ICVT has a 0.20% expense ratio, which is lower than EMB's 0.39% expense ratio.


EMB
iShares J.P. Morgan USD Emerging Markets Bond ETF
Expense ratio chart for EMB: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
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

-0.50.00.51.00.4

The correlation between ICVT and EMB is 0.40, 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

ICVT vs. EMB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Convertible Bond ETF (ICVT) and iShares J.P. Morgan USD Emerging Markets Bond ETF (EMB). 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 2.61, compared to the broader market0.002.004.006.002.611.71
The chart of Sortino ratio for ICVT, currently valued at 3.71, compared to the broader market-2.000.002.004.006.008.0010.0012.003.712.48
The chart of Omega ratio for ICVT, currently valued at 1.48, compared to the broader market0.501.001.502.002.503.001.481.30
The chart of Calmar ratio for ICVT, currently valued at 0.84, compared to the broader market0.005.0010.0015.000.840.74
The chart of Martin ratio for ICVT, currently valued at 14.05, compared to the broader market0.0020.0040.0060.0080.00100.0014.058.98
ICVT
EMB

The current ICVT Sharpe Ratio is 2.61, which is higher than the EMB Sharpe Ratio of 1.71. The chart below compares the historical Sharpe Ratios of ICVT and EMB, 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
2.61
1.71
ICVT
EMB

Dividends

ICVT vs. EMB - Dividend Comparison

ICVT's dividend yield for the trailing twelve months is around 2.23%, less than EMB's 4.93% 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%
EMB
iShares J.P. Morgan USD Emerging Markets Bond ETF
4.93%4.74%5.04%3.90%3.88%4.51%5.64%4.54%4.83%4.84%4.56%4.75%

Drawdowns

ICVT vs. EMB - Drawdown Comparison

The maximum ICVT drawdown since its inception was -33.25%, roughly equal to the maximum EMB drawdown of -34.70%. Use the drawdown chart below to compare losses from any high point for ICVT and EMB. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%JuneJulyAugustSeptemberOctoberNovember
-9.54%
-6.70%
ICVT
EMB

Volatility

ICVT vs. EMB - Volatility Comparison

iShares Convertible Bond ETF (ICVT) has a higher volatility of 2.70% compared to iShares J.P. Morgan USD Emerging Markets Bond ETF (EMB) at 1.92%. This indicates that ICVT's price experiences larger fluctuations and is considered to be riskier than EMB based on this measure. 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
2.70%
1.92%
ICVT
EMB