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SUSB vs. EUSB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SUSB and EUSB is 0.78, 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

Performance

SUSB vs. EUSB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG 1-5 Year USD Corporate Bond ETF (SUSB) and iShares ESG Advanced Total USD Bond Market ETF (EUSB). 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
2.98%
1.42%
SUSB
EUSB

Key characteristics

Sharpe Ratio

SUSB:

1.94

EUSB:

0.38

Sortino Ratio

SUSB:

2.89

EUSB:

0.57

Omega Ratio

SUSB:

1.37

EUSB:

1.07

Calmar Ratio

SUSB:

2.89

EUSB:

0.17

Martin Ratio

SUSB:

9.84

EUSB:

1.16

Ulcer Index

SUSB:

0.49%

EUSB:

1.80%

Daily Std Dev

SUSB:

2.49%

EUSB:

5.50%

Max Drawdown

SUSB:

-13.25%

EUSB:

-17.86%

Current Drawdown

SUSB:

-0.88%

EUSB:

-7.71%

Returns By Period

In the year-to-date period, SUSB achieves a 4.58% return, which is significantly higher than EUSB's 1.72% return.


SUSB

YTD

4.58%

1M

0.18%

6M

2.97%

1Y

4.79%

5Y*

1.75%

10Y*

N/A

EUSB

YTD

1.72%

1M

-0.23%

6M

1.43%

1Y

1.95%

5Y*

N/A

10Y*

N/A

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SUSB vs. EUSB - Expense Ratio Comparison

Both SUSB and EUSB have an expense ratio of 0.12%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


SUSB
iShares ESG 1-5 Year USD Corporate Bond ETF
Expense ratio chart for SUSB: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for EUSB: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

SUSB vs. EUSB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG 1-5 Year USD Corporate Bond ETF (SUSB) and iShares ESG Advanced Total USD Bond Market ETF (EUSB). 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 SUSB, currently valued at 1.94, compared to the broader market0.002.004.001.940.38
The chart of Sortino ratio for SUSB, currently valued at 2.89, compared to the broader market-2.000.002.004.006.008.0010.002.890.57
The chart of Omega ratio for SUSB, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.001.371.07
The chart of Calmar ratio for SUSB, currently valued at 2.89, compared to the broader market0.005.0010.0015.002.890.17
The chart of Martin ratio for SUSB, currently valued at 9.84, compared to the broader market0.0020.0040.0060.0080.00100.009.841.16
SUSB
EUSB

The current SUSB Sharpe Ratio is 1.94, which is higher than the EUSB Sharpe Ratio of 0.38. The chart below compares the historical Sharpe Ratios of SUSB and EUSB, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.94
0.38
SUSB
EUSB

Dividends

SUSB vs. EUSB - Dividend Comparison

SUSB's dividend yield for the trailing twelve months is around 3.82%, more than EUSB's 3.68% yield.


TTM2023202220212020201920182017
SUSB
iShares ESG 1-5 Year USD Corporate Bond ETF
3.82%2.80%1.73%1.30%1.91%2.82%3.05%1.22%
EUSB
iShares ESG Advanced Total USD Bond Market ETF
3.68%3.08%2.22%1.10%0.57%0.00%0.00%0.00%

Drawdowns

SUSB vs. EUSB - Drawdown Comparison

The maximum SUSB drawdown since its inception was -13.25%, smaller than the maximum EUSB drawdown of -17.86%. Use the drawdown chart below to compare losses from any high point for SUSB and EUSB. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.88%
-7.71%
SUSB
EUSB

Volatility

SUSB vs. EUSB - Volatility Comparison

The current volatility for iShares ESG 1-5 Year USD Corporate Bond ETF (SUSB) is 0.73%, while iShares ESG Advanced Total USD Bond Market ETF (EUSB) has a volatility of 1.56%. This indicates that SUSB experiences smaller price fluctuations and is considered to be less risky than EUSB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JulyAugustSeptemberOctoberNovemberDecember
0.73%
1.56%
SUSB
EUSB
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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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