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SUSC vs. IBND
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SUSCIBND
YTD Return3.21%0.06%
1Y Return11.27%8.16%
3Y Return (Ann)-2.05%-4.15%
5Y Return (Ann)0.62%-1.47%
Sharpe Ratio1.880.98
Sortino Ratio2.801.47
Omega Ratio1.341.18
Calmar Ratio0.690.32
Martin Ratio7.462.73
Ulcer Index1.57%2.98%
Daily Std Dev6.23%8.29%
Max Drawdown-22.41%-35.63%
Current Drawdown-7.57%-18.88%

Correlation

-0.50.00.51.00.4

The correlation between SUSC and IBND is 0.43, 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

SUSC vs. IBND - Performance Comparison

In the year-to-date period, SUSC achieves a 3.21% return, which is significantly higher than IBND's 0.06% 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
4.97%
2.93%
SUSC
IBND

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SUSC vs. IBND - Expense Ratio Comparison

SUSC has a 0.18% expense ratio, which is lower than IBND's 0.50% expense ratio.


IBND
SPDR Bloomberg Barclays International Corporate Bond ETF
Expense ratio chart for IBND: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
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%

Risk-Adjusted Performance

SUSC vs. IBND - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware USD Corporate Bond ETF (SUSC) and SPDR Bloomberg Barclays International Corporate Bond ETF (IBND). 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 market0.0020.0040.0060.0080.00100.00120.007.46
IBND
Sharpe ratio
The chart of Sharpe ratio for IBND, currently valued at 0.98, compared to the broader market-2.000.002.004.006.000.98
Sortino ratio
The chart of Sortino ratio for IBND, currently valued at 1.47, compared to the broader market0.005.0010.001.47
Omega ratio
The chart of Omega ratio for IBND, currently valued at 1.18, compared to the broader market1.001.502.002.503.001.18
Calmar ratio
The chart of Calmar ratio for IBND, currently valued at 0.32, compared to the broader market0.005.0010.0015.000.32
Martin ratio
The chart of Martin ratio for IBND, currently valued at 2.73, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.73

SUSC vs. IBND - Sharpe Ratio Comparison

The current SUSC Sharpe Ratio is 1.88, which is higher than the IBND Sharpe Ratio of 0.98. The chart below compares the historical Sharpe Ratios of SUSC and IBND, 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
0.98
SUSC
IBND

Dividends

SUSC vs. IBND - Dividend Comparison

SUSC's dividend yield for the trailing twelve months is around 4.21%, more than IBND's 2.52% yield.


TTM20232022202120202019201820172016201520142013
SUSC
iShares ESG Aware USD Corporate Bond ETF
4.21%3.83%2.97%2.21%2.20%3.08%3.88%1.70%0.00%0.00%0.00%0.00%
IBND
SPDR Bloomberg Barclays International Corporate Bond ETF
2.52%2.08%0.54%0.37%0.45%0.67%0.70%0.34%0.01%0.01%1.66%1.24%

Drawdowns

SUSC vs. IBND - Drawdown Comparison

The maximum SUSC drawdown since its inception was -22.41%, smaller than the maximum IBND drawdown of -35.63%. Use the drawdown chart below to compare losses from any high point for SUSC and IBND. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%JuneJulyAugustSeptemberOctoberNovember
-7.57%
-18.88%
SUSC
IBND

Volatility

SUSC vs. IBND - Volatility Comparison

The current volatility for iShares ESG Aware USD Corporate Bond ETF (SUSC) is 1.97%, while SPDR Bloomberg Barclays International Corporate Bond ETF (IBND) has a volatility of 2.49%. This indicates that SUSC experiences smaller price fluctuations and is considered to be less risky than IBND based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%JuneJulyAugustSeptemberOctoberNovember
1.97%
2.49%
SUSC
IBND