PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PWZ vs. FBND
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PWZ and FBND is 0.47, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

PWZ vs. FBND - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco California AMT-Free Municipal Bond ETF (PWZ) and Fidelity Total Bond ETF (FBND). The values are adjusted to include any dividend payments, if applicable.

-1.00%0.00%1.00%2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
0.63%
1.27%
PWZ
FBND

Key characteristics

Sharpe Ratio

PWZ:

0.36

FBND:

0.41

Sortino Ratio

PWZ:

0.54

FBND:

0.60

Omega Ratio

PWZ:

1.07

FBND:

1.07

Calmar Ratio

PWZ:

0.28

FBND:

0.22

Martin Ratio

PWZ:

1.76

FBND:

1.31

Ulcer Index

PWZ:

1.20%

FBND:

1.72%

Daily Std Dev

PWZ:

5.94%

FBND:

5.52%

Max Drawdown

PWZ:

-21.50%

FBND:

-17.25%

Current Drawdown

PWZ:

-4.62%

FBND:

-5.72%

Returns By Period

In the year-to-date period, PWZ achieves a 1.66% return, which is significantly lower than FBND's 1.93% return. Both investments have delivered pretty close results over the past 10 years, with PWZ having a 2.28% annualized return and FBND not far behind at 2.20%.


PWZ

YTD

1.66%

1M

-1.03%

6M

0.63%

1Y

2.11%

5Y*

0.55%

10Y*

2.28%

FBND

YTD

1.93%

1M

-0.59%

6M

1.28%

1Y

2.28%

5Y*

0.76%

10Y*

2.20%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


PWZ vs. FBND - Expense Ratio Comparison

PWZ has a 0.28% expense ratio, which is lower than FBND's 0.36% expense ratio.


FBND
Fidelity Total Bond ETF
Expense ratio chart for FBND: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%
Expense ratio chart for PWZ: current value at 0.28% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.28%

Risk-Adjusted Performance

PWZ vs. FBND - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco California AMT-Free Municipal Bond ETF (PWZ) and Fidelity Total Bond ETF (FBND). 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 PWZ, currently valued at 0.36, compared to the broader market0.002.004.000.360.41
The chart of Sortino ratio for PWZ, currently valued at 0.54, compared to the broader market-2.000.002.004.006.008.0010.000.540.60
The chart of Omega ratio for PWZ, currently valued at 1.07, compared to the broader market0.501.001.502.002.503.001.071.07
The chart of Calmar ratio for PWZ, currently valued at 0.28, compared to the broader market0.005.0010.0015.000.280.22
The chart of Martin ratio for PWZ, currently valued at 1.76, compared to the broader market0.0020.0040.0060.0080.00100.001.761.31
PWZ
FBND

The current PWZ Sharpe Ratio is 0.36, which is comparable to the FBND Sharpe Ratio of 0.41. The chart below compares the historical Sharpe Ratios of PWZ and FBND, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.36
0.41
PWZ
FBND

Dividends

PWZ vs. FBND - Dividend Comparison

PWZ's dividend yield for the trailing twelve months is around 3.30%, less than FBND's 4.60% yield.


TTM20232022202120202019201820172016201520142013
PWZ
Invesco California AMT-Free Municipal Bond ETF
3.30%2.85%2.49%2.28%2.34%2.51%2.54%2.49%2.87%3.17%3.81%3.96%
FBND
Fidelity Total Bond ETF
4.60%4.26%3.07%1.86%4.25%2.90%2.93%2.56%2.84%3.26%0.66%0.00%

Drawdowns

PWZ vs. FBND - Drawdown Comparison

The maximum PWZ drawdown since its inception was -21.50%, which is greater than FBND's maximum drawdown of -17.25%. Use the drawdown chart below to compare losses from any high point for PWZ and FBND. For additional features, visit the drawdowns tool.


-8.00%-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%JulyAugustSeptemberOctoberNovemberDecember
-4.62%
-5.72%
PWZ
FBND

Volatility

PWZ vs. FBND - Volatility Comparison

Invesco California AMT-Free Municipal Bond ETF (PWZ) has a higher volatility of 1.79% compared to Fidelity Total Bond ETF (FBND) at 1.65%. This indicates that PWZ's price experiences larger fluctuations and is considered to be riskier than FBND based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%JulyAugustSeptemberOctoberNovemberDecember
1.79%
1.65%
PWZ
FBND
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab