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OCIO vs. BNDX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


OCIOBNDX
YTD Return13.71%2.78%
1Y Return19.04%7.26%
3Y Return (Ann)4.20%-0.95%
5Y Return (Ann)8.28%-0.08%
Sharpe Ratio2.271.93
Sortino Ratio3.172.96
Omega Ratio1.421.34
Calmar Ratio2.560.71
Martin Ratio13.467.14
Ulcer Index1.55%1.13%
Daily Std Dev9.19%4.19%
Max Drawdown-24.21%-16.23%
Current Drawdown-0.63%-4.80%

Correlation

-0.50.00.51.00.1

The correlation between OCIO and BNDX is 0.12, 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

OCIO vs. BNDX - Performance Comparison

In the year-to-date period, OCIO achieves a 13.71% return, which is significantly higher than BNDX's 2.78% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
7.38%
2.97%
OCIO
BNDX

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OCIO vs. BNDX - Expense Ratio Comparison

OCIO has a 0.61% expense ratio, which is higher than BNDX's 0.07% expense ratio.


OCIO
ClearShares OCIO ETF
Expense ratio chart for OCIO: current value at 0.61% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.61%
Expense ratio chart for BNDX: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

OCIO vs. BNDX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ClearShares OCIO ETF (OCIO) and Vanguard Total International Bond ETF (BNDX). 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.


OCIO
Sharpe ratio
The chart of Sharpe ratio for OCIO, currently valued at 2.24, compared to the broader market-2.000.002.004.006.002.24
Sortino ratio
The chart of Sortino ratio for OCIO, currently valued at 3.14, compared to the broader market-2.000.002.004.006.008.0010.0012.003.14
Omega ratio
The chart of Omega ratio for OCIO, currently valued at 1.42, compared to the broader market1.001.502.002.503.001.42
Calmar ratio
The chart of Calmar ratio for OCIO, currently valued at 3.06, compared to the broader market0.005.0010.0015.003.06
Martin ratio
The chart of Martin ratio for OCIO, currently valued at 13.24, compared to the broader market0.0020.0040.0060.0080.00100.00120.0013.24
BNDX
Sharpe ratio
The chart of Sharpe ratio for BNDX, currently valued at 1.93, compared to the broader market-2.000.002.004.006.001.93
Sortino ratio
The chart of Sortino ratio for BNDX, currently valued at 2.96, compared to the broader market-2.000.002.004.006.008.0010.0012.002.96
Omega ratio
The chart of Omega ratio for BNDX, currently valued at 1.34, compared to the broader market1.001.502.002.503.001.34
Calmar ratio
The chart of Calmar ratio for BNDX, currently valued at 0.71, compared to the broader market0.005.0010.0015.000.71
Martin ratio
The chart of Martin ratio for BNDX, currently valued at 7.14, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.14

OCIO vs. BNDX - Sharpe Ratio Comparison

The current OCIO Sharpe Ratio is 2.27, which is comparable to the BNDX Sharpe Ratio of 1.93. The chart below compares the historical Sharpe Ratios of OCIO and BNDX, 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 Ratio1.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.24
1.93
OCIO
BNDX

Dividends

OCIO vs. BNDX - Dividend Comparison

OCIO's dividend yield for the trailing twelve months is around 1.89%, less than BNDX's 4.78% yield.


TTM20232022202120202019201820172016201520142013
OCIO
ClearShares OCIO ETF
1.89%2.32%3.21%2.83%2.90%2.22%2.16%0.84%0.00%0.00%0.00%0.00%
BNDX
Vanguard Total International Bond ETF
4.78%4.42%1.52%3.74%1.11%3.40%3.01%2.23%1.89%1.63%1.54%0.86%

Drawdowns

OCIO vs. BNDX - Drawdown Comparison

The maximum OCIO drawdown since its inception was -24.21%, which is greater than BNDX's maximum drawdown of -16.23%. Use the drawdown chart below to compare losses from any high point for OCIO and BNDX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.63%
-4.80%
OCIO
BNDX

Volatility

OCIO vs. BNDX - Volatility Comparison

ClearShares OCIO ETF (OCIO) has a higher volatility of 2.58% compared to Vanguard Total International Bond ETF (BNDX) at 0.94%. This indicates that OCIO's price experiences larger fluctuations and is considered to be riskier than BNDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
2.58%
0.94%
OCIO
BNDX