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

Key characteristics


MBBFLIA
YTD Return1.44%1.47%
1Y Return6.85%5.80%
3Y Return (Ann)-2.06%0.03%
5Y Return (Ann)-0.67%0.08%
Sharpe Ratio1.241.33
Sortino Ratio1.841.96
Omega Ratio1.221.25
Calmar Ratio0.600.77
Martin Ratio4.255.48
Ulcer Index1.99%1.18%
Daily Std Dev6.81%4.86%
Max Drawdown-17.65%-11.24%
Current Drawdown-7.57%-3.01%

Correlation

-0.50.00.51.00.5

The correlation between MBB and FLIA is 0.50, 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

MBB vs. FLIA - Performance Comparison

The year-to-date returns for both investments are quite close, with MBB having a 1.44% return and FLIA slightly higher at 1.47%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.40%
2.38%
MBB
FLIA

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MBB vs. FLIA - Expense Ratio Comparison

MBB has a 0.06% expense ratio, which is lower than FLIA's 0.25% 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%.


FLIA
Franklin Liberty International Aggregate Bond ETF
Expense ratio chart for FLIA: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
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%

Risk-Adjusted Performance

MBB vs. FLIA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MBS Bond ETF (MBB) and Franklin Liberty International Aggregate Bond ETF (FLIA). 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 1.84, compared to the broader market-2.000.002.004.006.008.0010.0012.001.84
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 0.60, compared to the broader market0.005.0010.0015.000.60
Martin ratio
The chart of Martin ratio for MBB, currently valued at 4.25, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.25
FLIA
Sharpe ratio
The chart of Sharpe ratio for FLIA, currently valued at 1.33, compared to the broader market-2.000.002.004.006.001.33
Sortino ratio
The chart of Sortino ratio for FLIA, currently valued at 1.96, compared to the broader market-2.000.002.004.006.008.0010.0012.001.96
Omega ratio
The chart of Omega ratio for FLIA, currently valued at 1.25, compared to the broader market1.001.502.002.503.001.25
Calmar ratio
The chart of Calmar ratio for FLIA, currently valued at 0.77, compared to the broader market0.005.0010.0015.000.77
Martin ratio
The chart of Martin ratio for FLIA, currently valued at 5.48, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.48

MBB vs. FLIA - Sharpe Ratio Comparison

The current MBB Sharpe Ratio is 1.24, which is comparable to the FLIA Sharpe Ratio of 1.33. The chart below compares the historical Sharpe Ratios of MBB and FLIA, 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
1.33
MBB
FLIA

Dividends

MBB vs. FLIA - Dividend Comparison

MBB's dividend yield for the trailing twelve months is around 3.86%, more than FLIA's 0.92% yield.


TTM20232022202120202019201820172016201520142013
MBB
iShares MBS Bond ETF
3.86%3.40%2.31%1.05%2.10%2.77%2.63%2.23%2.58%2.66%1.72%1.27%
FLIA
Franklin Liberty International Aggregate Bond ETF
0.92%0.94%18.13%2.26%0.43%2.93%1.23%0.00%0.00%0.00%0.00%0.00%

Drawdowns

MBB vs. FLIA - Drawdown Comparison

The maximum MBB drawdown since its inception was -17.65%, which is greater than FLIA's maximum drawdown of -11.24%. Use the drawdown chart below to compare losses from any high point for MBB and FLIA. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%JuneJulyAugustSeptemberOctoberNovember
-7.57%
-3.01%
MBB
FLIA

Volatility

MBB vs. FLIA - Volatility Comparison

iShares MBS Bond ETF (MBB) has a higher volatility of 1.99% compared to Franklin Liberty International Aggregate Bond ETF (FLIA) at 1.17%. This indicates that MBB's price experiences larger fluctuations and is considered to be riskier than FLIA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
1.99%
1.17%
MBB
FLIA