IGOV vs. AGG
Compare and contrast key facts about iShares International Treasury Bond ETF (IGOV) and iShares Core U.S. Aggregate Bond ETF (AGG).
IGOV and AGG are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. IGOV is a passively managed fund by iShares that tracks the performance of the S&P/Citigroup International Treasury Bond Index Ex-US. It was launched on Jan 21, 2009. AGG is a passively managed fund by iShares that tracks the performance of the Barclays Capital U.S. Aggregate Bond Index. It was launched on Sep 22, 2003. Both IGOV and AGG are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IGOV or AGG.
Key characteristics
| IGOV | AGG | |
|---|---|---|
| YTD Return | -4.98% | 1.78% |
| 1Y Return | 2.08% | 6.87% |
| 3Y Return (Ann) | -7.91% | -2.07% |
| 5Y Return (Ann) | -4.59% | -0.18% |
| 10Y Return (Ann) | -1.92% | 1.45% |
| Sharpe Ratio | 0.28 | 1.29 |
| Sortino Ratio | 0.45 | 1.88 |
| Omega Ratio | 1.05 | 1.23 |
| Calmar Ratio | 0.08 | 0.52 |
| Martin Ratio | 0.52 | 4.35 |
| Ulcer Index | 4.76% | 1.71% |
| Daily Std Dev | 8.88% | 5.79% |
| Max Drawdown | -35.88% | -18.43% |
| Current Drawdown | -29.42% | -8.52% |
Correlation
The correlation between IGOV and AGG is 0.45, 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.
Performance
IGOV vs. AGG - Performance Comparison
In the year-to-date period, IGOV achieves a -4.98% return, which is significantly lower than AGG's 1.78% return. Over the past 10 years, IGOV has underperformed AGG with an annualized return of -1.92%, while AGG has yielded a comparatively higher 1.45% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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IGOV vs. AGG - Expense Ratio Comparison
IGOV has a 0.35% expense ratio, which is higher than AGG's 0.05% expense ratio.
Risk-Adjusted Performance
IGOV vs. AGG - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares International Treasury Bond ETF (IGOV) and iShares Core U.S. Aggregate Bond ETF (AGG). 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.
Dividends
IGOV vs. AGG - Dividend Comparison
IGOV has not paid dividends to shareholders, while AGG's dividend yield for the trailing twelve months is around 3.64%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IGOV iShares International Treasury Bond ETF | 0.00% | 0.00% | 0.11% | 0.39% | 0.00% | 0.24% | 0.31% | 0.19% | 0.69% | 0.22% | 1.28% | 1.32% |
AGG iShares Core U.S. Aggregate Bond ETF | 3.64% | 3.13% | 2.39% | 1.77% | 2.14% | 2.70% | 2.96% | 2.32% | 2.39% | 2.45% | 2.40% | 2.32% |
Drawdowns
IGOV vs. AGG - Drawdown Comparison
The maximum IGOV drawdown since its inception was -35.88%, which is greater than AGG's maximum drawdown of -18.43%. Use the drawdown chart below to compare losses from any high point for IGOV and AGG. For additional features, visit the drawdowns tool.
Volatility
IGOV vs. AGG - Volatility Comparison
iShares International Treasury Bond ETF (IGOV) has a higher volatility of 3.26% compared to iShares Core U.S. Aggregate Bond ETF (AGG) at 1.64%. This indicates that IGOV's price experiences larger fluctuations and is considered to be riskier than AGG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.