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

Key characteristics


MWTIXFTBFX
YTD Return2.08%4.00%
1Y Return9.65%10.64%
3Y Return (Ann)-2.92%-1.29%
5Y Return (Ann)-1.03%0.81%
10Y Return (Ann)0.73%2.09%
Sharpe Ratio1.281.65
Sortino Ratio1.892.46
Omega Ratio1.231.30
Calmar Ratio0.430.69
Martin Ratio4.376.66
Ulcer Index2.01%1.38%
Daily Std Dev6.88%5.71%
Max Drawdown-23.26%-18.19%
Current Drawdown-12.78%-4.77%

Correlation

-0.50.00.51.00.9

The correlation between MWTIX and FTBFX is 0.89, 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.

Performance

MWTIX vs. FTBFX - Performance Comparison

In the year-to-date period, MWTIX achieves a 2.08% return, which is significantly lower than FTBFX's 4.00% return. Over the past 10 years, MWTIX has underperformed FTBFX with an annualized return of 0.73%, while FTBFX has yielded a comparatively higher 2.09% 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%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.54%
4.73%
MWTIX
FTBFX

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MWTIX vs. FTBFX - Expense Ratio Comparison

Both MWTIX and FTBFX have an expense ratio of 0.45%.


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 FTBFX: 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%

Risk-Adjusted Performance

MWTIX vs. FTBFX - 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 Fidelity Total Bond Fund (FTBFX). 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.


MWTIX
Sharpe ratio
The chart of Sharpe ratio for MWTIX, currently valued at 1.20, compared to the broader market0.002.004.001.20
Sortino ratio
The chart of Sortino ratio for MWTIX, currently valued at 1.76, compared to the broader market0.005.0010.001.76
Omega ratio
The chart of Omega ratio for MWTIX, currently valued at 1.22, compared to the broader market1.002.003.004.001.22
Calmar ratio
The chart of Calmar ratio for MWTIX, currently valued at 0.40, compared to the broader market0.005.0010.0015.0020.0025.000.40
Martin ratio
The chart of Martin ratio for MWTIX, currently valued at 3.99, compared to the broader market0.0020.0040.0060.0080.00100.003.99
FTBFX
Sharpe ratio
The chart of Sharpe ratio for FTBFX, currently valued at 1.65, compared to the broader market0.002.004.001.65
Sortino ratio
The chart of Sortino ratio for FTBFX, currently valued at 2.46, compared to the broader market0.005.0010.002.46
Omega ratio
The chart of Omega ratio for FTBFX, currently valued at 1.30, compared to the broader market1.002.003.004.001.30
Calmar ratio
The chart of Calmar ratio for FTBFX, currently valued at 0.69, compared to the broader market0.005.0010.0015.0020.0025.000.69
Martin ratio
The chart of Martin ratio for FTBFX, currently valued at 6.66, compared to the broader market0.0020.0040.0060.0080.00100.006.66

MWTIX vs. FTBFX - Sharpe Ratio Comparison

The current MWTIX Sharpe Ratio is 1.28, which is comparable to the FTBFX Sharpe Ratio of 1.65. The chart below compares the historical Sharpe Ratios of MWTIX and FTBFX, 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.20
1.65
MWTIX
FTBFX

Dividends

MWTIX vs. FTBFX - Dividend Comparison

MWTIX's dividend yield for the trailing twelve months is around 4.33%, less than FTBFX's 4.58% yield.


TTM20232022202120202019201820172016201520142013
MWTIX
Metropolitan West Total Return Bond Fund Class I
4.33%4.11%2.93%1.30%1.78%2.76%2.73%2.16%2.09%1.84%2.30%3.13%
FTBFX
Fidelity Total Bond Fund
4.58%4.15%3.34%2.19%2.53%2.95%3.19%2.74%2.95%3.71%2.99%3.91%

Drawdowns

MWTIX vs. FTBFX - Drawdown Comparison

The maximum MWTIX drawdown since its inception was -23.26%, which is greater than FTBFX's maximum drawdown of -18.19%. Use the drawdown chart below to compare losses from any high point for MWTIX and FTBFX. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%JuneJulyAugustSeptemberOctoberNovember
-12.78%
-4.77%
MWTIX
FTBFX

Volatility

MWTIX vs. FTBFX - Volatility Comparison

Metropolitan West Total Return Bond Fund Class I (MWTIX) has a higher volatility of 1.72% compared to Fidelity Total Bond Fund (FTBFX) at 1.55%. This indicates that MWTIX's price experiences larger fluctuations and is considered to be riskier than FTBFX 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
1.72%
1.55%
MWTIX
FTBFX