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

Performance

SUSC vs. SUSB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Aware USD Corporate Bond ETF (SUSC) and iShares ESG 1-5 Year USD Corporate Bond ETF (SUSB). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.65%
3.59%
SUSC
SUSB

Returns By Period

In the year-to-date period, SUSC achieves a 2.54% return, which is significantly lower than SUSB's 4.48% return.


SUSC

YTD

2.54%

1M

-1.27%

6M

3.51%

1Y

8.30%

5Y (annualized)

0.38%

10Y (annualized)

N/A

SUSB

YTD

4.48%

1M

-0.42%

6M

3.50%

1Y

7.24%

5Y (annualized)

1.79%

10Y (annualized)

N/A

Key characteristics


SUSCSUSB
Sharpe Ratio1.422.77
Sortino Ratio2.084.36
Omega Ratio1.251.56
Calmar Ratio0.571.92
Martin Ratio5.2416.16
Ulcer Index1.65%0.45%
Daily Std Dev6.09%2.61%
Max Drawdown-22.41%-13.25%
Current Drawdown-8.17%-0.98%

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. SUSB - Expense Ratio Comparison

SUSC has a 0.18% expense ratio, which is higher than SUSB'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 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%

Correlation

-0.50.00.51.00.7

The correlation between SUSC and SUSB is 0.68, 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.

Risk-Adjusted Performance

SUSC vs. SUSB - 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 1-5 Year USD Corporate Bond ETF (SUSB). 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 SUSC, currently valued at 1.42, compared to the broader market0.002.004.006.001.422.77
The chart of Sortino ratio for SUSC, currently valued at 2.08, compared to the broader market-2.000.002.004.006.008.0010.0012.002.084.36
The chart of Omega ratio for SUSC, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.001.251.56
The chart of Calmar ratio for SUSC, currently valued at 0.57, compared to the broader market0.005.0010.0015.000.571.92
The chart of Martin ratio for SUSC, currently valued at 5.24, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.2416.16
SUSC
SUSB

The current SUSC Sharpe Ratio is 1.42, which is lower than the SUSB Sharpe Ratio of 2.77. The chart below compares the historical Sharpe Ratios of SUSC and SUSB, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.42
2.77
SUSC
SUSB

Dividends

SUSC vs. SUSB - Dividend Comparison

SUSC's dividend yield for the trailing twelve months is around 4.24%, more than SUSB's 3.63% yield.


TTM2023202220212020201920182017
SUSC
iShares ESG Aware USD Corporate Bond ETF
4.24%3.83%2.97%2.21%2.20%3.08%3.88%1.70%
SUSB
iShares ESG 1-5 Year USD Corporate Bond ETF
3.63%2.80%1.73%1.30%1.91%2.82%3.05%1.22%

Drawdowns

SUSC vs. SUSB - Drawdown Comparison

The maximum SUSC drawdown since its inception was -22.41%, which is greater than SUSB's maximum drawdown of -13.25%. Use the drawdown chart below to compare losses from any high point for SUSC and SUSB. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.17%
-0.98%
SUSC
SUSB

Volatility

SUSC vs. SUSB - Volatility Comparison

iShares ESG Aware USD Corporate Bond ETF (SUSC) has a higher volatility of 1.82% compared to iShares ESG 1-5 Year USD Corporate Bond ETF (SUSB) at 0.61%. This indicates that SUSC's price experiences larger fluctuations and is considered to be riskier than SUSB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
1.82%
0.61%
SUSC
SUSB