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

Correlation

The correlation between SUSB and FXAIX is 0.14, 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.


-0.50.00.51.00.1

Performance

SUSB vs. FXAIX - 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 Fidelity 500 Index Fund (FXAIX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
3.01%
10.77%
SUSB
FXAIX

Key characteristics

Sharpe Ratio

SUSB:

1.94

FXAIX:

2.26

Sortino Ratio

SUSB:

2.89

FXAIX:

3.00

Omega Ratio

SUSB:

1.37

FXAIX:

1.42

Calmar Ratio

SUSB:

2.89

FXAIX:

3.35

Martin Ratio

SUSB:

9.84

FXAIX:

14.77

Ulcer Index

SUSB:

0.49%

FXAIX:

1.92%

Daily Std Dev

SUSB:

2.49%

FXAIX:

12.52%

Max Drawdown

SUSB:

-13.25%

FXAIX:

-33.79%

Current Drawdown

SUSB:

-0.88%

FXAIX:

-1.12%

Returns By Period

In the year-to-date period, SUSB achieves a 4.58% return, which is significantly lower than FXAIX's 27.89% return.


SUSB

YTD

4.58%

1M

0.18%

6M

2.97%

1Y

4.79%

5Y*

1.75%

10Y*

N/A

FXAIX

YTD

27.89%

1M

0.94%

6M

10.77%

1Y

28.33%

5Y*

15.02%

10Y*

13.03%

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SUSB vs. FXAIX - Expense Ratio Comparison

SUSB has a 0.12% expense ratio, which is higher than FXAIX's 0.02% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually 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 FXAIX: current value at 0.02% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.02%

Risk-Adjusted Performance

SUSB vs. FXAIX - 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 Fidelity 500 Index Fund (FXAIX). 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 1.93, compared to the broader market0.002.004.001.932.26
The chart of Sortino ratio for SUSB, currently valued at 2.86, compared to the broader market-2.000.002.004.006.008.0010.002.863.00
The chart of Omega ratio for SUSB, currently valued at 1.36, compared to the broader market0.501.001.502.002.503.001.361.42
The chart of Calmar ratio for SUSB, currently valued at 2.86, compared to the broader market0.005.0010.0015.002.863.35
The chart of Martin ratio for SUSB, currently valued at 9.69, compared to the broader market0.0020.0040.0060.0080.00100.009.6914.77
SUSB
FXAIX

The current SUSB Sharpe Ratio is 1.94, which is comparable to the FXAIX Sharpe Ratio of 2.26. The chart below compares the historical Sharpe Ratios of SUSB and FXAIX, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.93
2.26
SUSB
FXAIX

Dividends

SUSB vs. FXAIX - Dividend Comparison

SUSB's dividend yield for the trailing twelve months is around 3.82%, more than FXAIX's 0.87% yield.


TTM20232022202120202019201820172016201520142013
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%0.00%0.00%0.00%0.00%
FXAIX
Fidelity 500 Index Fund
0.87%1.45%1.69%1.22%1.60%1.95%2.07%1.81%2.01%2.56%2.63%1.84%

Drawdowns

SUSB vs. FXAIX - Drawdown Comparison

The maximum SUSB drawdown since its inception was -13.25%, smaller than the maximum FXAIX drawdown of -33.79%. Use the drawdown chart below to compare losses from any high point for SUSB and FXAIX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.88%
-1.12%
SUSB
FXAIX

Volatility

SUSB vs. FXAIX - Volatility Comparison

The current volatility for iShares ESG 1-5 Year USD Corporate Bond ETF (SUSB) is 0.73%, while Fidelity 500 Index Fund (FXAIX) has a volatility of 3.88%. This indicates that SUSB experiences smaller price fluctuations and is considered to be less risky than FXAIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
0.73%
3.88%
SUSB
FXAIX
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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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