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

Performance

MBB vs. MBSD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MBS Bond ETF (MBB) and FlexShares Disciplined Duration MBS Index Fund (MBSD). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.20%
2.57%
MBB
MBSD

Returns By Period

In the year-to-date period, MBB achieves a 1.38% return, which is significantly lower than MBSD's 2.15% return. Both investments have delivered pretty close results over the past 10 years, with MBB having a 0.85% annualized return and MBSD not far ahead at 0.89%.


MBB

YTD

1.38%

1M

-0.84%

6M

3.20%

1Y

6.29%

5Y (annualized)

-0.68%

10Y (annualized)

0.85%

MBSD

YTD

2.15%

1M

-0.66%

6M

2.57%

1Y

5.50%

5Y (annualized)

0.11%

10Y (annualized)

0.89%

Key characteristics


MBBMBSD
Sharpe Ratio0.990.97
Sortino Ratio1.461.44
Omega Ratio1.171.17
Calmar Ratio0.480.55
Martin Ratio3.173.93
Ulcer Index2.06%1.44%
Daily Std Dev6.57%5.85%
Max Drawdown-17.65%-14.36%
Current Drawdown-7.63%-5.01%

Compare stocks, funds, or ETFs

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


MBB vs. MBSD - Expense Ratio Comparison

MBB has a 0.06% expense ratio, which is lower than MBSD's 0.20% 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%.


MBSD
FlexShares Disciplined Duration MBS Index Fund
Expense ratio chart for MBSD: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
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%

Correlation

-0.50.00.51.00.6

The correlation between MBB and MBSD is 0.59, 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.

Risk-Adjusted Performance

MBB vs. MBSD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MBS Bond ETF (MBB) and FlexShares Disciplined Duration MBS Index Fund (MBSD). 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 0.99, compared to the broader market0.002.004.006.000.990.97
The chart of Sortino ratio for MBB, currently valued at 1.46, compared to the broader market-2.000.002.004.006.008.0010.0012.001.461.44
The chart of Omega ratio for MBB, currently valued at 1.17, compared to the broader market0.501.001.502.002.503.001.171.17
The chart of Calmar ratio for MBB, currently valued at 0.48, compared to the broader market0.005.0010.0015.000.480.55
The chart of Martin ratio for MBB, currently valued at 3.17, compared to the broader market0.0020.0040.0060.0080.00100.003.173.93
MBB
MBSD

The current MBB Sharpe Ratio is 0.99, which is comparable to the MBSD Sharpe Ratio of 0.97. The chart below compares the historical Sharpe Ratios of MBB and MBSD, 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
0.99
0.97
MBB
MBSD

Dividends

MBB vs. MBSD - Dividend Comparison

MBB's dividend yield for the trailing twelve months is around 3.86%, more than MBSD's 3.71% 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%
MBSD
FlexShares Disciplined Duration MBS Index Fund
3.71%3.39%3.04%2.41%2.78%3.42%3.22%3.30%2.78%2.49%0.83%0.00%

Drawdowns

MBB vs. MBSD - Drawdown Comparison

The maximum MBB drawdown since its inception was -17.65%, which is greater than MBSD's maximum drawdown of -14.36%. Use the drawdown chart below to compare losses from any high point for MBB and MBSD. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%JuneJulyAugustSeptemberOctoberNovember
-7.63%
-5.01%
MBB
MBSD

Volatility

MBB vs. MBSD - Volatility Comparison

iShares MBS Bond ETF (MBB) has a higher volatility of 1.81% compared to FlexShares Disciplined Duration MBS Index Fund (MBSD) at 1.37%. This indicates that MBB's price experiences larger fluctuations and is considered to be riskier than MBSD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%JuneJulyAugustSeptemberOctoberNovember
1.81%
1.37%
MBB
MBSD