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

Key characteristics


MBBSCHG
YTD Return2.21%34.22%
1Y Return9.52%47.39%
3Y Return (Ann)-1.98%11.12%
5Y Return (Ann)-0.47%21.10%
10Y Return (Ann)0.97%16.82%
Sharpe Ratio1.242.71
Sortino Ratio1.823.48
Omega Ratio1.221.49
Calmar Ratio0.573.74
Martin Ratio4.3414.90
Ulcer Index1.95%3.10%
Daily Std Dev6.85%17.06%
Max Drawdown-17.65%-34.59%
Current Drawdown-6.87%0.00%

Correlation

-0.50.00.51.0-0.1

The correlation between MBB and SCHG is -0.07. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Performance

MBB vs. SCHG - Performance Comparison

In the year-to-date period, MBB achieves a 2.21% return, which is significantly lower than SCHG's 34.22% return. Over the past 10 years, MBB has underperformed SCHG with an annualized return of 0.97%, while SCHG has yielded a comparatively higher 16.82% annualized 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%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
4.58%
19.72%
MBB
SCHG

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MBB vs. SCHG - Expense Ratio Comparison

MBB has a 0.06% expense ratio, which is higher than SCHG's 0.04% 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 SCHG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

MBB vs. SCHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MBS Bond ETF (MBB) and Schwab U.S. Large-Cap Growth ETF (SCHG). 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 market0.005.0010.001.82
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
SCHG
Sharpe ratio
The chart of Sharpe ratio for SCHG, currently valued at 2.71, compared to the broader market-2.000.002.004.006.002.71
Sortino ratio
The chart of Sortino ratio for SCHG, currently valued at 3.48, compared to the broader market0.005.0010.003.48
Omega ratio
The chart of Omega ratio for SCHG, currently valued at 1.49, compared to the broader market1.001.502.002.503.001.49
Calmar ratio
The chart of Calmar ratio for SCHG, currently valued at 3.74, compared to the broader market0.005.0010.0015.003.74
Martin ratio
The chart of Martin ratio for SCHG, currently valued at 14.90, compared to the broader market0.0020.0040.0060.0080.00100.0014.90

MBB vs. SCHG - Sharpe Ratio Comparison

The current MBB Sharpe Ratio is 1.24, which is lower than the SCHG Sharpe Ratio of 2.71. The chart below compares the historical Sharpe Ratios of MBB and SCHG, 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
1.24
2.71
MBB
SCHG

Dividends

MBB vs. SCHG - Dividend Comparison

MBB's dividend yield for the trailing twelve months is around 3.83%, more than SCHG's 0.40% 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%
SCHG
Schwab U.S. Large-Cap Growth ETF
0.40%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.04%1.22%1.09%1.07%

Drawdowns

MBB vs. SCHG - Drawdown Comparison

The maximum MBB drawdown since its inception was -17.65%, smaller than the maximum SCHG drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for MBB and SCHG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.87%
0
MBB
SCHG

Volatility

MBB vs. SCHG - Volatility Comparison

The current volatility for iShares MBS Bond ETF (MBB) is 1.93%, while Schwab U.S. Large-Cap Growth ETF (SCHG) has a volatility of 5.35%. This indicates that MBB experiences smaller price fluctuations and is considered to be less risky than SCHG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
1.93%
5.35%
MBB
SCHG