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MBSD vs. VRIG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


MBSDVRIG
YTD Return2.79%5.88%
1Y Return7.55%7.23%
3Y Return (Ann)-1.30%4.71%
5Y Return (Ann)0.30%3.47%
Sharpe Ratio1.138.99
Sortino Ratio1.7019.45
Omega Ratio1.204.46
Calmar Ratio0.6136.67
Martin Ratio5.23243.72
Ulcer Index1.31%0.03%
Daily Std Dev6.05%0.81%
Max Drawdown-14.36%-13.04%
Current Drawdown-4.42%0.00%

Correlation

-0.50.00.51.00.0

The correlation between MBSD and VRIG 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.

Performance

MBSD vs. VRIG - Performance Comparison

In the year-to-date period, MBSD achieves a 2.79% return, which is significantly lower than VRIG's 5.88% 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%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.75%
2.96%
MBSD
VRIG

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MBSD vs. VRIG - Expense Ratio Comparison

MBSD has a 0.20% expense ratio, which is lower than VRIG's 0.30% expense ratio.


VRIG
Invesco Variable Rate Investment Grade ETF
Expense ratio chart for VRIG: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
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%

Risk-Adjusted Performance

MBSD vs. VRIG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for FlexShares Disciplined Duration MBS Index Fund (MBSD) and Invesco Variable Rate Investment Grade ETF (VRIG). 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.


MBSD
Sharpe ratio
The chart of Sharpe ratio for MBSD, currently valued at 1.13, compared to the broader market-2.000.002.004.006.001.13
Sortino ratio
The chart of Sortino ratio for MBSD, currently valued at 1.70, compared to the broader market0.005.0010.001.70
Omega ratio
The chart of Omega ratio for MBSD, currently valued at 1.20, compared to the broader market1.001.502.002.503.001.20
Calmar ratio
The chart of Calmar ratio for MBSD, currently valued at 0.61, compared to the broader market0.005.0010.0015.000.61
Martin ratio
The chart of Martin ratio for MBSD, currently valued at 5.23, compared to the broader market0.0020.0040.0060.0080.00100.005.23
VRIG
Sharpe ratio
The chart of Sharpe ratio for VRIG, currently valued at 8.99, compared to the broader market-2.000.002.004.006.008.99
Sortino ratio
The chart of Sortino ratio for VRIG, currently valued at 19.45, compared to the broader market0.005.0010.0019.45
Omega ratio
The chart of Omega ratio for VRIG, currently valued at 4.46, compared to the broader market1.001.502.002.503.004.46
Calmar ratio
The chart of Calmar ratio for VRIG, currently valued at 36.67, compared to the broader market0.005.0010.0015.0036.67
Martin ratio
The chart of Martin ratio for VRIG, currently valued at 243.72, compared to the broader market0.0020.0040.0060.0080.00100.00243.72

MBSD vs. VRIG - Sharpe Ratio Comparison

The current MBSD Sharpe Ratio is 1.13, which is lower than the VRIG Sharpe Ratio of 8.99. The chart below compares the historical Sharpe Ratios of MBSD and VRIG, 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 Ratio0.002.004.006.008.0010.00JuneJulyAugustSeptemberOctoberNovember
1.13
8.99
MBSD
VRIG

Dividends

MBSD vs. VRIG - Dividend Comparison

MBSD's dividend yield for the trailing twelve months is around 3.68%, less than VRIG's 6.18% yield.


TTM2023202220212020201920182017201620152014
MBSD
FlexShares Disciplined Duration MBS Index Fund
3.68%3.39%3.04%2.41%2.78%3.42%3.22%3.30%2.78%2.49%0.83%
VRIG
Invesco Variable Rate Investment Grade ETF
6.18%5.96%2.39%0.77%1.56%3.13%2.89%2.31%0.60%0.00%0.00%

Drawdowns

MBSD vs. VRIG - Drawdown Comparison

The maximum MBSD drawdown since its inception was -14.36%, which is greater than VRIG's maximum drawdown of -13.04%. Use the drawdown chart below to compare losses from any high point for MBSD and VRIG. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.42%
0
MBSD
VRIG

Volatility

MBSD vs. VRIG - Volatility Comparison

FlexShares Disciplined Duration MBS Index Fund (MBSD) has a higher volatility of 1.45% compared to Invesco Variable Rate Investment Grade ETF (VRIG) at 0.24%. This indicates that MBSD's price experiences larger fluctuations and is considered to be riskier than VRIG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%0.50%1.00%1.50%2.00%2.50%JuneJulyAugustSeptemberOctoberNovember
1.45%
0.24%
MBSD
VRIG