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STIP vs. BGRN
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


STIPBGRN
YTD Return4.72%4.17%
1Y Return7.13%12.38%
3Y Return (Ann)2.39%-1.10%
5Y Return (Ann)3.56%-0.03%
Sharpe Ratio3.472.52
Sortino Ratio5.933.73
Omega Ratio1.781.48
Calmar Ratio3.420.73
Martin Ratio34.8414.52
Ulcer Index0.21%0.84%
Daily Std Dev2.11%4.82%
Max Drawdown-5.50%-19.16%
Current Drawdown-0.33%-6.38%

Correlation

-0.50.00.51.00.5

The correlation between STIP and BGRN is 0.48, 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.

Performance

STIP vs. BGRN - Performance Comparison

In the year-to-date period, STIP achieves a 4.72% return, which is significantly higher than BGRN's 4.17% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


5.00%10.00%15.00%20.00%25.00%MayJuneJulyAugustSeptemberOctober
24.32%
11.16%
STIP
BGRN

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STIP vs. BGRN - Expense Ratio Comparison

STIP has a 0.06% expense ratio, which is lower than BGRN's 0.20% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


BGRN
iShares Global Green Bond ETF
Expense ratio chart for BGRN: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for STIP: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

STIP vs. BGRN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares 0-5 Year TIPS Bond ETF (STIP) and iShares Global Green Bond ETF (BGRN). 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.


STIP
Sharpe ratio
The chart of Sharpe ratio for STIP, currently valued at 3.47, compared to the broader market-2.000.002.004.003.47
Sortino ratio
The chart of Sortino ratio for STIP, currently valued at 5.93, compared to the broader market0.005.0010.005.93
Omega ratio
The chart of Omega ratio for STIP, currently valued at 1.78, compared to the broader market1.001.502.002.503.001.78
Calmar ratio
The chart of Calmar ratio for STIP, currently valued at 3.42, compared to the broader market0.005.0010.0015.003.42
Martin ratio
The chart of Martin ratio for STIP, currently valued at 34.84, compared to the broader market0.0020.0040.0060.0080.00100.0034.84
BGRN
Sharpe ratio
The chart of Sharpe ratio for BGRN, currently valued at 2.52, compared to the broader market-2.000.002.004.002.52
Sortino ratio
The chart of Sortino ratio for BGRN, currently valued at 3.73, compared to the broader market0.005.0010.003.73
Omega ratio
The chart of Omega ratio for BGRN, currently valued at 1.48, compared to the broader market1.001.502.002.503.001.48
Calmar ratio
The chart of Calmar ratio for BGRN, currently valued at 0.73, compared to the broader market0.005.0010.0015.000.73
Martin ratio
The chart of Martin ratio for BGRN, currently valued at 14.52, compared to the broader market0.0020.0040.0060.0080.00100.0014.52

STIP vs. BGRN - Sharpe Ratio Comparison

The current STIP Sharpe Ratio is 3.47, which is higher than the BGRN Sharpe Ratio of 2.52. The chart below compares the historical Sharpe Ratios of STIP and BGRN, 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 Ratio0.001.002.003.004.00MayJuneJulyAugustSeptemberOctober
3.47
2.52
STIP
BGRN

Dividends

STIP vs. BGRN - Dividend Comparison

STIP's dividend yield for the trailing twelve months is around 2.73%, less than BGRN's 3.87% yield.


TTM20232022202120202019201820172016201520142013
STIP
iShares 0-5 Year TIPS Bond ETF
2.73%2.84%6.04%4.15%1.40%2.06%2.44%1.59%0.89%0.00%0.74%0.31%
BGRN
iShares Global Green Bond ETF
3.87%3.52%2.66%0.78%1.82%3.66%0.21%0.00%0.00%0.00%0.00%0.00%

Drawdowns

STIP vs. BGRN - Drawdown Comparison

The maximum STIP drawdown since its inception was -5.50%, smaller than the maximum BGRN drawdown of -19.16%. Use the drawdown chart below to compare losses from any high point for STIP and BGRN. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.33%
-6.38%
STIP
BGRN

Volatility

STIP vs. BGRN - Volatility Comparison

The current volatility for iShares 0-5 Year TIPS Bond ETF (STIP) is 0.63%, while iShares Global Green Bond ETF (BGRN) has a volatility of 1.10%. This indicates that STIP experiences smaller price fluctuations and is considered to be less risky than BGRN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.40%0.60%0.80%1.00%1.20%1.40%1.60%MayJuneJulyAugustSeptemberOctober
0.63%
1.10%
STIP
BGRN