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

Correlation

The correlation between SUSB and IGSB is 0.81, 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. IGSB - 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 Short-Term Corporate Bond ETF (IGSB). The values are adjusted to include any dividend payments, if applicable.

0.00%1.00%2.00%3.00%4.00%JulyAugustSeptemberOctoberNovemberDecember
2.97%
3.02%
SUSB
IGSB

Key characteristics

Sharpe Ratio

SUSB:

1.94

IGSB:

2.11

Sortino Ratio

SUSB:

2.89

IGSB:

3.12

Omega Ratio

SUSB:

1.37

IGSB:

1.40

Calmar Ratio

SUSB:

2.89

IGSB:

4.26

Martin Ratio

SUSB:

9.84

IGSB:

10.44

Ulcer Index

SUSB:

0.49%

IGSB:

0.48%

Daily Std Dev

SUSB:

2.49%

IGSB:

2.38%

Max Drawdown

SUSB:

-13.25%

IGSB:

-13.38%

Current Drawdown

SUSB:

-0.88%

IGSB:

-0.84%

Returns By Period

The year-to-date returns for both investments are quite close, with SUSB having a 4.58% return and IGSB slightly higher at 4.69%.


SUSB

YTD

4.58%

1M

0.18%

6M

2.97%

1Y

4.79%

5Y*

1.75%

10Y*

N/A

IGSB

YTD

4.69%

1M

0.18%

6M

3.02%

1Y

4.98%

5Y*

2.00%

10Y*

2.19%

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SUSB vs. IGSB - Expense Ratio Comparison

SUSB has a 0.12% expense ratio, which is higher than IGSB's 0.06% 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 IGSB: 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

SUSB vs. IGSB - 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 Short-Term Corporate Bond ETF (IGSB). 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 market0.002.004.001.942.11
The chart of Sortino ratio for SUSB, currently valued at 2.89, compared to the broader market-2.000.002.004.006.008.0010.002.893.12
The chart of Omega ratio for SUSB, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.001.371.40
The chart of Calmar ratio for SUSB, currently valued at 2.89, compared to the broader market0.005.0010.0015.002.894.26
The chart of Martin ratio for SUSB, currently valued at 9.84, compared to the broader market0.0020.0040.0060.0080.00100.009.8410.44
SUSB
IGSB

The current SUSB Sharpe Ratio is 1.94, which is comparable to the IGSB Sharpe Ratio of 2.11. The chart below compares the historical Sharpe Ratios of SUSB and IGSB, 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 Ratio2.002.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
1.94
2.11
SUSB
IGSB

Dividends

SUSB vs. IGSB - Dividend Comparison

SUSB's dividend yield for the trailing twelve months is around 3.82%, less than IGSB's 4.03% 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%
IGSB
iShares Short-Term Corporate Bond ETF
4.03%3.26%2.07%1.82%2.37%3.07%2.46%1.65%1.45%1.18%0.94%1.17%

Drawdowns

SUSB vs. IGSB - Drawdown Comparison

The maximum SUSB drawdown since its inception was -13.25%, roughly equal to the maximum IGSB drawdown of -13.38%. Use the drawdown chart below to compare losses from any high point for SUSB and IGSB. For additional features, visit the drawdowns tool.


-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.88%
-0.84%
SUSB
IGSB

Volatility

SUSB vs. IGSB - Volatility Comparison

iShares ESG 1-5 Year USD Corporate Bond ETF (SUSB) has a higher volatility of 0.73% compared to iShares Short-Term Corporate Bond ETF (IGSB) at 0.69%. This indicates that SUSB's price experiences larger fluctuations and is considered to be riskier than IGSB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.40%0.50%0.60%0.70%0.80%JulyAugustSeptemberOctoberNovemberDecember
0.73%
0.69%
SUSB
IGSB
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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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