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MWTIX vs. BND
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

MWTIX vs. BND - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Metropolitan West Total Return Bond Fund Class I (MWTIX) and Vanguard Total Bond Market ETF (BND). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.78%
4.41%
MWTIX
BND

Returns By Period

In the year-to-date period, MWTIX achieves a 1.97% return, which is significantly lower than BND's 2.46% return. Over the past 10 years, MWTIX has underperformed BND with an annualized return of 0.64%, while BND has yielded a comparatively higher 1.42% annualized return.


MWTIX

YTD

1.97%

1M

0.28%

6M

4.78%

1Y

7.41%

5Y (annualized)

-1.22%

10Y (annualized)

0.64%

BND

YTD

2.46%

1M

0.27%

6M

4.41%

1Y

6.76%

5Y (annualized)

-0.19%

10Y (annualized)

1.42%

Key characteristics


MWTIXBND
Sharpe Ratio1.111.19
Sortino Ratio1.641.75
Omega Ratio1.201.21
Calmar Ratio0.400.49
Martin Ratio3.363.80
Ulcer Index2.20%1.78%
Daily Std Dev6.70%5.70%
Max Drawdown-23.26%-18.84%
Current Drawdown-12.88%-8.39%

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MWTIX vs. BND - Expense Ratio Comparison

MWTIX has a 0.45% expense ratio, which is higher than BND's 0.03% expense ratio.


MWTIX
Metropolitan West Total Return Bond Fund Class I
Expense ratio chart for MWTIX: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for BND: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

The correlation between MWTIX and BND is 0.84, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

Risk-Adjusted Performance

MWTIX vs. BND - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Metropolitan West Total Return Bond Fund Class I (MWTIX) and Vanguard Total Bond Market ETF (BND). 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 MWTIX, currently valued at 1.11, compared to the broader market-1.000.001.002.003.004.005.001.111.19
The chart of Sortino ratio for MWTIX, currently valued at 1.64, compared to the broader market0.005.0010.001.641.75
The chart of Omega ratio for MWTIX, currently valued at 1.20, compared to the broader market1.002.003.004.001.201.21
The chart of Calmar ratio for MWTIX, currently valued at 0.40, compared to the broader market0.005.0010.0015.0020.000.400.49
The chart of Martin ratio for MWTIX, currently valued at 3.36, compared to the broader market0.0020.0040.0060.0080.003.363.80
MWTIX
BND

The current MWTIX Sharpe Ratio is 1.11, which is comparable to the BND Sharpe Ratio of 1.19. The chart below compares the historical Sharpe Ratios of MWTIX and BND, 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
1.11
1.19
MWTIX
BND

Dividends

MWTIX vs. BND - Dividend Comparison

MWTIX's dividend yield for the trailing twelve months is around 4.34%, more than BND's 3.55% yield.


TTM20232022202120202019201820172016201520142013
MWTIX
Metropolitan West Total Return Bond Fund Class I
4.34%4.11%2.93%1.30%1.78%2.76%2.73%2.16%2.09%1.84%2.30%3.13%
BND
Vanguard Total Bond Market ETF
3.55%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%

Drawdowns

MWTIX vs. BND - Drawdown Comparison

The maximum MWTIX drawdown since its inception was -23.26%, which is greater than BND's maximum drawdown of -18.84%. Use the drawdown chart below to compare losses from any high point for MWTIX and BND. For additional features, visit the drawdowns tool.


-18.00%-16.00%-14.00%-12.00%-10.00%-8.00%-6.00%JuneJulyAugustSeptemberOctoberNovember
-12.88%
-8.39%
MWTIX
BND

Volatility

MWTIX vs. BND - Volatility Comparison

Metropolitan West Total Return Bond Fund Class I (MWTIX) has a higher volatility of 1.90% compared to Vanguard Total Bond Market ETF (BND) at 1.77%. This indicates that MWTIX's price experiences larger fluctuations and is considered to be riskier than BND based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.20%1.40%1.60%1.80%2.00%2.20%JuneJulyAugustSeptemberOctoberNovember
1.90%
1.77%
MWTIX
BND
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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