MBSD vs. VRIG
Compare and contrast key facts about FlexShares Disciplined Duration MBS Index Fund (MBSD) and Invesco Variable Rate Investment Grade ETF (VRIG).
MBSD and VRIG are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. MBSD is a passively managed fund by Northern Trust that tracks the performance of the ICE BofA Constrained Duration US Mortgage Backed Securities. It was launched on Sep 4, 2014. VRIG is an actively managed fund by Invesco. It was launched on Sep 22, 2016.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: MBSD or VRIG.
Performance
MBSD vs. VRIG - Performance Comparison
Returns By Period
In the year-to-date period, MBSD achieves a 2.21% return, which is significantly lower than VRIG's 6.03% return.
MBSD
2.21%
-1.18%
2.45%
5.72%
0.11%
0.90%
VRIG
6.03%
0.52%
2.93%
7.15%
3.51%
N/A
Key characteristics
| MBSD | VRIG | |
|---|---|---|
| Sharpe Ratio | 0.96 | 8.96 |
| Sortino Ratio | 1.43 | 19.37 |
| Omega Ratio | 1.17 | 4.45 |
| Calmar Ratio | 0.55 | 36.46 |
| Martin Ratio | 3.95 | 242.72 |
| Ulcer Index | 1.42% | 0.03% |
| Daily Std Dev | 5.85% | 0.81% |
| Max Drawdown | -14.36% | -13.04% |
| Current Drawdown | -4.96% | 0.00% |
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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.
Correlation
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.
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.
Dividends
MBSD vs. VRIG - Dividend Comparison
MBSD's dividend yield for the trailing twelve months is around 3.70%, less than VRIG's 6.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
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.
Volatility
MBSD vs. VRIG - Volatility Comparison
FlexShares Disciplined Duration MBS Index Fund (MBSD) has a higher volatility of 1.37% compared to Invesco Variable Rate Investment Grade ETF (VRIG) at 0.21%. 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.