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

Key characteristics


SUSCEUSB
YTD Return3.21%2.55%
1Y Return11.27%9.10%
3Y Return (Ann)-2.05%-1.73%
Sharpe Ratio1.881.51
Sortino Ratio2.802.24
Omega Ratio1.341.27
Calmar Ratio0.690.60
Martin Ratio7.465.86
Ulcer Index1.57%1.51%
Daily Std Dev6.23%5.85%
Max Drawdown-22.41%-17.86%
Current Drawdown-7.57%-6.95%

Correlation

-0.50.00.51.00.9

The correlation between SUSC and EUSB is 0.90, 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.

Performance

SUSC vs. EUSB - Performance Comparison

In the year-to-date period, SUSC achieves a 3.21% return, which is significantly higher than EUSB's 2.55% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.65%
3.71%
SUSC
EUSB

Compare stocks, funds, or ETFs

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


SUSC vs. EUSB - Expense Ratio Comparison

SUSC has a 0.18% expense ratio, which is higher than EUSB's 0.12% 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%.


SUSC
iShares ESG Aware USD Corporate Bond ETF
Expense ratio chart for SUSC: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
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

SUSC vs. EUSB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware USD Corporate Bond ETF (SUSC) 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.


SUSC
Sharpe ratio
The chart of Sharpe ratio for SUSC, currently valued at 1.88, compared to the broader market-2.000.002.004.006.001.88
Sortino ratio
The chart of Sortino ratio for SUSC, currently valued at 2.80, compared to the broader market0.005.0010.002.80
Omega ratio
The chart of Omega ratio for SUSC, currently valued at 1.34, compared to the broader market1.001.502.002.503.001.34
Calmar ratio
The chart of Calmar ratio for SUSC, currently valued at 0.69, compared to the broader market0.005.0010.0015.000.69
Martin ratio
The chart of Martin ratio for SUSC, currently valued at 7.46, compared to the broader market0.0020.0040.0060.0080.00100.007.46
EUSB
Sharpe ratio
The chart of Sharpe ratio for EUSB, currently valued at 1.51, compared to the broader market-2.000.002.004.006.001.51
Sortino ratio
The chart of Sortino ratio for EUSB, currently valued at 2.24, compared to the broader market0.005.0010.002.24
Omega ratio
The chart of Omega ratio for EUSB, currently valued at 1.27, compared to the broader market1.001.502.002.503.001.27
Calmar ratio
The chart of Calmar ratio for EUSB, currently valued at 0.60, compared to the broader market0.005.0010.0015.000.60
Martin ratio
The chart of Martin ratio for EUSB, currently valued at 5.86, compared to the broader market0.0020.0040.0060.0080.00100.005.86

SUSC vs. EUSB - Sharpe Ratio Comparison

The current SUSC Sharpe Ratio is 1.88, which is comparable to the EUSB Sharpe Ratio of 1.51. The chart below compares the historical Sharpe Ratios of SUSC 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.88
1.51
SUSC
EUSB

Dividends

SUSC vs. EUSB - Dividend Comparison

SUSC's dividend yield for the trailing twelve months is around 4.21%, more than EUSB's 3.54% yield.


TTM2023202220212020201920182017
SUSC
iShares ESG Aware USD Corporate Bond ETF
4.21%3.83%2.97%2.21%2.20%3.08%3.88%1.70%
EUSB
iShares ESG Advanced Total USD Bond Market ETF
3.54%3.08%2.22%1.10%0.57%0.00%0.00%0.00%

Drawdowns

SUSC vs. EUSB - Drawdown Comparison

The maximum SUSC drawdown since its inception was -22.41%, which is greater than EUSB's maximum drawdown of -17.86%. Use the drawdown chart below to compare losses from any high point for SUSC and EUSB. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%JuneJulyAugustSeptemberOctoberNovember
-7.57%
-6.95%
SUSC
EUSB

Volatility

SUSC vs. EUSB - Volatility Comparison

The current volatility for iShares ESG Aware USD Corporate Bond ETF (SUSC) is 1.97%, while iShares ESG Advanced Total USD Bond Market ETF (EUSB) has a volatility of 2.17%. This indicates that SUSC 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.


1.00%1.20%1.40%1.60%1.80%2.00%2.20%JuneJulyAugustSeptemberOctoberNovember
1.97%
2.17%
SUSC
EUSB