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IGSB vs. AGG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


IGSBAGG
YTD Return4.77%2.65%
1Y Return8.54%9.31%
3Y Return (Ann)1.54%-2.21%
5Y Return (Ann)2.12%0.10%
10Y Return (Ann)2.19%1.55%
Sharpe Ratio3.161.40
Sortino Ratio5.152.06
Omega Ratio1.661.25
Calmar Ratio2.020.54
Martin Ratio20.325.12
Ulcer Index0.41%1.64%
Daily Std Dev2.62%5.98%
Max Drawdown-13.38%-18.43%
Current Drawdown-0.77%-7.73%

Correlation

-0.50.00.51.00.6

The correlation between IGSB and AGG is 0.58, 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

IGSB vs. AGG - Performance Comparison

In the year-to-date period, IGSB achieves a 4.77% return, which is significantly higher than AGG's 2.65% return. Over the past 10 years, IGSB has outperformed AGG with an annualized return of 2.19%, while AGG has yielded a comparatively lower 1.55% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.09%
4.60%
IGSB
AGG

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IGSB vs. AGG - Expense Ratio Comparison

IGSB has a 0.06% expense ratio, which is higher than AGG's 0.05% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


IGSB
iShares Short-Term Corporate Bond ETF
Expense ratio chart for IGSB: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
Expense ratio chart for AGG: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

IGSB vs. AGG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Short-Term Corporate Bond ETF (IGSB) 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.


IGSB
Sharpe ratio
The chart of Sharpe ratio for IGSB, currently valued at 3.16, compared to the broader market-2.000.002.004.003.16
Sortino ratio
The chart of Sortino ratio for IGSB, currently valued at 5.15, compared to the broader market-2.000.002.004.006.008.0010.0012.005.15
Omega ratio
The chart of Omega ratio for IGSB, currently valued at 1.66, compared to the broader market1.001.502.002.503.001.66
Calmar ratio
The chart of Calmar ratio for IGSB, currently valued at 2.02, compared to the broader market0.005.0010.0015.002.02
Martin ratio
The chart of Martin ratio for IGSB, currently valued at 20.32, compared to the broader market0.0020.0040.0060.0080.00100.0020.32
AGG
Sharpe ratio
The chart of Sharpe ratio for AGG, currently valued at 1.40, compared to the broader market-2.000.002.004.001.40
Sortino ratio
The chart of Sortino ratio for AGG, currently valued at 2.06, compared to the broader market-2.000.002.004.006.008.0010.0012.002.06
Omega ratio
The chart of Omega ratio for AGG, currently valued at 1.25, compared to the broader market1.001.502.002.503.001.25
Calmar ratio
The chart of Calmar ratio for AGG, currently valued at 0.54, compared to the broader market0.005.0010.0015.000.54
Martin ratio
The chart of Martin ratio for AGG, currently valued at 5.12, compared to the broader market0.0020.0040.0060.0080.00100.005.12

IGSB vs. AGG - Sharpe Ratio Comparison

The current IGSB Sharpe Ratio is 3.16, which is higher than the AGG Sharpe Ratio of 1.40. The chart below compares the historical Sharpe Ratios of IGSB and AGG, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
3.16
1.40
IGSB
AGG

Dividends

IGSB vs. AGG - Dividend Comparison

IGSB's dividend yield for the trailing twelve months is around 3.90%, which matches AGG's 3.93% yield.


TTM20232022202120202019201820172016201520142013
IGSB
iShares Short-Term Corporate Bond ETF
3.90%3.26%2.07%1.82%2.37%3.07%2.46%1.65%1.45%1.18%0.94%1.17%
AGG
iShares Core U.S. Aggregate Bond ETF
3.93%3.13%2.39%1.77%2.14%2.70%2.96%2.32%2.39%2.45%2.40%2.32%

Drawdowns

IGSB vs. AGG - Drawdown Comparison

The maximum IGSB drawdown since its inception was -13.38%, smaller than the maximum AGG drawdown of -18.43%. Use the drawdown chart below to compare losses from any high point for IGSB and AGG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.77%
-7.73%
IGSB
AGG

Volatility

IGSB vs. AGG - Volatility Comparison

The current volatility for iShares Short-Term Corporate Bond ETF (IGSB) is 0.62%, while iShares Core U.S. Aggregate Bond ETF (AGG) has a volatility of 1.68%. This indicates that IGSB experiences smaller price fluctuations and is considered to be less risky than AGG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
0.62%
1.68%
IGSB
AGG