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

Performance

MBSD vs. MBB - Performance Comparison

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

-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
2.45%
3.01%
MBSD
MBB

Returns By Period

In the year-to-date period, MBSD achieves a 2.21% return, which is significantly higher than MBB's 1.42% return. Over the past 10 years, MBSD has outperformed MBB with an annualized return of 0.90%, while MBB has yielded a comparatively lower 0.85% annualized return.


MBSD

YTD

2.21%

1M

-1.18%

6M

2.45%

1Y

5.72%

5Y (annualized)

0.11%

10Y (annualized)

0.90%

MBB

YTD

1.42%

1M

-1.54%

6M

3.01%

1Y

6.58%

5Y (annualized)

-0.68%

10Y (annualized)

0.85%

Key characteristics


MBSDMBB
Sharpe Ratio0.961.01
Sortino Ratio1.431.48
Omega Ratio1.171.18
Calmar Ratio0.550.48
Martin Ratio3.953.22
Ulcer Index1.42%2.05%
Daily Std Dev5.85%6.57%
Max Drawdown-14.36%-17.65%
Current Drawdown-4.96%-7.59%

Compare stocks, funds, or ETFs

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


MBSD vs. MBB - Expense Ratio Comparison

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


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 MBSD and MBB 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

MBSD vs. MBB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for FlexShares Disciplined Duration MBS Index Fund (MBSD) and iShares MBS Bond ETF (MBB). 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 MBSD, currently valued at 0.96, compared to the broader market0.002.004.006.000.961.01
The chart of Sortino ratio for MBSD, currently valued at 1.43, compared to the broader market-2.000.002.004.006.008.0010.0012.001.431.48
The chart of Omega ratio for MBSD, currently valued at 1.17, compared to the broader market0.501.001.502.002.503.001.171.18
The chart of Calmar ratio for MBSD, currently valued at 0.55, compared to the broader market0.005.0010.0015.000.550.48
The chart of Martin ratio for MBSD, currently valued at 3.95, compared to the broader market0.0020.0040.0060.0080.00100.003.953.22
MBSD
MBB

The current MBSD Sharpe Ratio is 0.96, which is comparable to the MBB Sharpe Ratio of 1.01. The chart below compares the historical Sharpe Ratios of MBSD and MBB, 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
0.96
1.01
MBSD
MBB

Dividends

MBSD vs. MBB - Dividend Comparison

MBSD's dividend yield for the trailing twelve months is around 3.70%, less than MBB's 3.86% yield.


TTM20232022202120202019201820172016201520142013
MBSD
FlexShares Disciplined Duration MBS Index Fund
3.70%3.39%3.04%2.41%2.78%3.42%3.22%3.30%2.78%2.49%0.83%0.00%
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%

Drawdowns

MBSD vs. MBB - Drawdown Comparison

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


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%JuneJulyAugustSeptemberOctoberNovember
-4.96%
-7.59%
MBSD
MBB

Volatility

MBSD vs. MBB - Volatility Comparison

The current volatility for FlexShares Disciplined Duration MBS Index Fund (MBSD) is 1.37%, while iShares MBS Bond ETF (MBB) has a volatility of 1.82%. This indicates that MBSD experiences smaller price fluctuations and is considered to be less risky than MBB 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
1.37%
1.82%
MBSD
MBB