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

Correlation

The correlation between MBB and GOOG is 0.02, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.0

Performance

MBB vs. GOOG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MBS Bond ETF (MBB) and Alphabet Inc. (GOOG). The values are adjusted to include any dividend payments, if applicable.

0.00%100.00%200.00%300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
13.41%
581.66%
MBB
GOOG

Key characteristics

Sharpe Ratio

MBB:

0.28

GOOG:

1.40

Sortino Ratio

MBB:

0.43

GOOG:

1.93

Omega Ratio

MBB:

1.05

GOOG:

1.26

Calmar Ratio

MBB:

0.14

GOOG:

1.74

Martin Ratio

MBB:

0.79

GOOG:

4.26

Ulcer Index

MBB:

2.23%

GOOG:

9.07%

Daily Std Dev

MBB:

6.29%

GOOG:

27.64%

Max Drawdown

MBB:

-17.65%

GOOG:

-44.60%

Current Drawdown

MBB:

-7.70%

GOOG:

-2.62%

Returns By Period

In the year-to-date period, MBB achieves a 1.29% return, which is significantly lower than GOOG's 37.41% return. Over the past 10 years, MBB has underperformed GOOG with an annualized return of 0.83%, while GOOG has yielded a comparatively higher 22.07% annualized return.


MBB

YTD

1.29%

1M

-0.08%

6M

1.34%

1Y

1.67%

5Y*

-0.74%

10Y*

0.83%

GOOG

YTD

37.41%

1M

8.94%

6M

7.31%

1Y

36.57%

5Y*

23.51%

10Y*

22.07%

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Risk-Adjusted Performance

MBB vs. GOOG - Risk-Adjusted Performance Comparison

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


Sharpe ratio
The chart of Sharpe ratio for MBB, currently valued at 0.28, compared to the broader market0.002.004.000.281.40
The chart of Sortino ratio for MBB, currently valued at 0.43, compared to the broader market-2.000.002.004.006.008.0010.000.431.93
The chart of Omega ratio for MBB, currently valued at 1.05, compared to the broader market0.501.001.502.002.503.001.051.26
The chart of Calmar ratio for MBB, currently valued at 0.14, compared to the broader market0.005.0010.0015.000.141.74
The chart of Martin ratio for MBB, currently valued at 0.79, compared to the broader market0.0020.0040.0060.0080.00100.000.794.26
MBB
GOOG

The current MBB Sharpe Ratio is 0.28, which is lower than the GOOG Sharpe Ratio of 1.40. The chart below compares the historical Sharpe Ratios of MBB and GOOG, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.28
1.40
MBB
GOOG

Dividends

MBB vs. GOOG - Dividend Comparison

MBB's dividend yield for the trailing twelve months is around 3.94%, more than GOOG's 0.31% yield.


TTM20232022202120202019201820172016201520142013
MBB
iShares MBS Bond ETF
3.94%3.40%2.31%1.05%2.10%2.77%2.63%2.23%2.58%2.66%1.72%1.27%
GOOG
Alphabet Inc.
0.31%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

MBB vs. GOOG - Drawdown Comparison

The maximum MBB drawdown since its inception was -17.65%, smaller than the maximum GOOG drawdown of -44.60%. Use the drawdown chart below to compare losses from any high point for MBB and GOOG. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.70%
-2.62%
MBB
GOOG

Volatility

MBB vs. GOOG - Volatility Comparison

The current volatility for iShares MBS Bond ETF (MBB) is 1.81%, while Alphabet Inc. (GOOG) has a volatility of 11.21%. This indicates that MBB experiences smaller price fluctuations and is considered to be less risky than GOOG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
1.81%
11.21%
MBB
GOOG
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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