PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
IGSB vs. FLDR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


IGSBFLDR
YTD Return4.77%5.14%
1Y Return8.54%6.75%
3Y Return (Ann)1.54%3.63%
5Y Return (Ann)2.12%2.64%
Sharpe Ratio3.166.66
Sortino Ratio5.1513.46
Omega Ratio1.662.77
Calmar Ratio2.0225.03
Martin Ratio20.32103.31
Ulcer Index0.41%0.07%
Daily Std Dev2.62%1.01%
Max Drawdown-13.38%-12.23%
Current Drawdown-0.77%0.00%

Correlation

-0.50.00.51.00.4

The correlation between IGSB and FLDR is 0.44, 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. FLDR - Performance Comparison

In the year-to-date period, IGSB achieves a 4.77% return, which is significantly lower than FLDR's 5.14% 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%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.09%
3.07%
IGSB
FLDR

Compare stocks, funds, or ETFs

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


IGSB vs. FLDR - Expense Ratio Comparison

IGSB has a 0.06% expense ratio, which is lower than FLDR's 0.15% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


FLDR
Fidelity Low Duration Bond Factor ETF
Expense ratio chart for FLDR: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
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%

Risk-Adjusted Performance

IGSB vs. FLDR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Short-Term Corporate Bond ETF (IGSB) and Fidelity Low Duration Bond Factor ETF (FLDR). 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 market0.005.0010.005.15
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 market0.0020.0040.0060.0080.00100.00120.0020.32
FLDR
Sharpe ratio
The chart of Sharpe ratio for FLDR, currently valued at 6.66, compared to the broader market-2.000.002.004.006.66
Sortino ratio
The chart of Sortino ratio for FLDR, currently valued at 13.46, compared to the broader market0.005.0010.0013.46
Omega ratio
The chart of Omega ratio for FLDR, currently valued at 2.77, compared to the broader market1.001.502.002.503.002.77
Calmar ratio
The chart of Calmar ratio for FLDR, currently valued at 25.03, compared to the broader market0.005.0010.0015.0025.03
Martin ratio
The chart of Martin ratio for FLDR, currently valued at 103.31, compared to the broader market0.0020.0040.0060.0080.00100.00120.00103.31

IGSB vs. FLDR - Sharpe Ratio Comparison

The current IGSB Sharpe Ratio is 3.16, which is lower than the FLDR Sharpe Ratio of 6.66. The chart below compares the historical Sharpe Ratios of IGSB and FLDR, 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 Ratio1.002.003.004.005.006.007.00JuneJulyAugustSeptemberOctoberNovember
3.16
6.66
IGSB
FLDR

Dividends

IGSB vs. FLDR - Dividend Comparison

IGSB's dividend yield for the trailing twelve months is around 3.90%, less than FLDR's 5.58% 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%
FLDR
Fidelity Low Duration Bond Factor ETF
5.58%5.28%2.09%0.51%1.22%2.69%1.38%0.00%0.00%0.00%0.00%0.00%

Drawdowns

IGSB vs. FLDR - Drawdown Comparison

The maximum IGSB drawdown since its inception was -13.38%, which is greater than FLDR's maximum drawdown of -12.23%. Use the drawdown chart below to compare losses from any high point for IGSB and FLDR. For additional features, visit the drawdowns tool.


-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.77%
0
IGSB
FLDR

Volatility

IGSB vs. FLDR - Volatility Comparison

iShares Short-Term Corporate Bond ETF (IGSB) has a higher volatility of 0.62% compared to Fidelity Low Duration Bond Factor ETF (FLDR) at 0.30%. This indicates that IGSB's price experiences larger fluctuations and is considered to be riskier than FLDR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.20%0.30%0.40%0.50%0.60%0.70%0.80%JuneJulyAugustSeptemberOctoberNovember
0.62%
0.30%
IGSB
FLDR