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

Key characteristics


MBBAGG
YTD Return2.21%2.65%
1Y Return9.52%9.31%
3Y Return (Ann)-1.98%-2.21%
5Y Return (Ann)-0.47%0.10%
10Y Return (Ann)0.97%1.55%
Sharpe Ratio1.241.40
Sortino Ratio1.822.06
Omega Ratio1.221.25
Calmar Ratio0.570.54
Martin Ratio4.345.12
Ulcer Index1.95%1.64%
Daily Std Dev6.85%5.98%
Max Drawdown-17.65%-18.43%
Current Drawdown-6.87%-7.73%

Correlation

-0.50.00.51.00.8

The correlation between MBB and AGG is 0.80, 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.

Performance

MBB vs. AGG - Performance Comparison

In the year-to-date period, MBB achieves a 2.21% return, which is significantly lower than AGG's 2.65% return. Over the past 10 years, MBB has underperformed AGG with an annualized return of 0.97%, while AGG has yielded a comparatively higher 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.


50.00%55.00%60.00%65.00%70.00%JuneJulyAugustSeptemberOctoberNovember
53.79%
66.13%
MBB
AGG

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MBB vs. AGG - Expense Ratio Comparison

MBB 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%.


MBB
iShares MBS Bond ETF
Expense ratio chart for MBB: 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

MBB vs. AGG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MBS Bond ETF (MBB) 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.


MBB
Sharpe ratio
The chart of Sharpe ratio for MBB, currently valued at 1.24, compared to the broader market-2.000.002.004.006.001.24
Sortino ratio
The chart of Sortino ratio for MBB, currently valued at 1.82, compared to the broader market-2.000.002.004.006.008.0010.0012.001.82
Omega ratio
The chart of Omega ratio for MBB, currently valued at 1.22, compared to the broader market1.001.502.002.503.001.22
Calmar ratio
The chart of Calmar ratio for MBB, currently valued at 0.57, compared to the broader market0.005.0010.0015.000.57
Martin ratio
The chart of Martin ratio for MBB, currently valued at 4.34, compared to the broader market0.0020.0040.0060.0080.00100.004.34
AGG
Sharpe ratio
The chart of Sharpe ratio for AGG, currently valued at 1.40, compared to the broader market-2.000.002.004.006.001.40
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

MBB vs. AGG - Sharpe Ratio Comparison

The current MBB Sharpe Ratio is 1.24, which is comparable to the AGG Sharpe Ratio of 1.40. The chart below compares the historical Sharpe Ratios of MBB 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.24
1.40
MBB
AGG

Dividends

MBB vs. AGG - Dividend Comparison

MBB's dividend yield for the trailing twelve months is around 3.83%, less than AGG's 3.93% yield.


TTM20232022202120202019201820172016201520142013
MBB
iShares MBS Bond ETF
3.83%3.40%2.31%1.05%2.10%2.77%2.63%2.23%2.58%2.66%1.72%1.27%
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

MBB vs. AGG - Drawdown Comparison

The maximum MBB drawdown since its inception was -17.65%, roughly equal to the maximum AGG drawdown of -18.43%. Use the drawdown chart below to compare losses from any high point for MBB and AGG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%JuneJulyAugustSeptemberOctoberNovember
-6.87%
-7.73%
MBB
AGG

Volatility

MBB vs. AGG - Volatility Comparison

iShares MBS Bond ETF (MBB) has a higher volatility of 1.93% compared to iShares Core U.S. Aggregate Bond ETF (AGG) at 1.68%. This indicates that MBB'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.


1.00%1.20%1.40%1.60%1.80%2.00%2.20%JuneJulyAugustSeptemberOctoberNovember
1.93%
1.68%
MBB
AGG