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

Correlation

The correlation between VGIT and IGIB is 0.77, 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

VGIT vs. IGIB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Intermediate-Term Treasury ETF (VGIT) and iShares Intermediate-Term Corporate Bond ETF (IGIB). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.04%
3.68%
VGIT
IGIB

Key characteristics

Sharpe Ratio

VGIT:

0.57

IGIB:

1.10

Sortino Ratio

VGIT:

0.84

IGIB:

1.59

Omega Ratio

VGIT:

1.10

IGIB:

1.19

Calmar Ratio

VGIT:

0.22

IGIB:

0.56

Martin Ratio

VGIT:

1.49

IGIB:

4.06

Ulcer Index

VGIT:

1.81%

IGIB:

1.45%

Daily Std Dev

VGIT:

4.71%

IGIB:

5.37%

Max Drawdown

VGIT:

-16.05%

IGIB:

-20.63%

Current Drawdown

VGIT:

-8.27%

IGIB:

-3.86%

Returns By Period

In the year-to-date period, VGIT achieves a 1.81% return, which is significantly lower than IGIB's 4.40% return. Over the past 10 years, VGIT has underperformed IGIB with an annualized return of 1.16%, while IGIB has yielded a comparatively higher 2.65% annualized return.


VGIT

YTD

1.81%

1M

0.55%

6M

1.69%

1Y

2.29%

5Y (annualized)

-0.07%

10Y (annualized)

1.16%

IGIB

YTD

4.40%

1M

0.87%

6M

3.30%

1Y

5.23%

5Y (annualized)

1.17%

10Y (annualized)

2.65%

Compare stocks, funds, or ETFs

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


VGIT vs. IGIB - Expense Ratio Comparison

VGIT has a 0.04% expense ratio, which is lower than IGIB's 0.06% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


IGIB
iShares Intermediate-Term Corporate Bond ETF
Expense ratio chart for IGIB: 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%
Expense ratio chart for VGIT: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

VGIT vs. IGIB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Intermediate-Term Treasury ETF (VGIT) and iShares Intermediate-Term Corporate Bond ETF (IGIB). 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 VGIT, currently valued at 0.57, compared to the broader market0.002.004.000.571.10
The chart of Sortino ratio for VGIT, currently valued at 0.84, compared to the broader market-2.000.002.004.006.008.0010.000.841.59
The chart of Omega ratio for VGIT, currently valued at 1.10, compared to the broader market0.501.001.502.002.503.001.101.19
The chart of Calmar ratio for VGIT, currently valued at 0.22, compared to the broader market0.005.0010.0015.000.220.56
The chart of Martin ratio for VGIT, currently valued at 1.49, compared to the broader market0.0020.0040.0060.0080.00100.001.494.06
VGIT
IGIB

The current VGIT Sharpe Ratio is 0.57, which is lower than the IGIB Sharpe Ratio of 1.10. The chart below compares the historical Sharpe Ratios of VGIT and IGIB, 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 Ratio0.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.57
1.10
VGIT
IGIB

Dividends

VGIT vs. IGIB - Dividend Comparison

VGIT's dividend yield for the trailing twelve months is around 3.61%, less than IGIB's 3.97% yield.


TTM20232022202120202019201820172016201520142013
VGIT
Vanguard Intermediate-Term Treasury ETF
3.61%2.72%1.74%1.69%2.23%2.24%2.05%1.67%1.69%1.69%1.54%1.63%
IGIB
iShares Intermediate-Term Corporate Bond ETF
3.97%3.78%3.04%2.52%2.74%3.44%3.41%2.51%2.45%2.51%2.46%2.72%

Drawdowns

VGIT vs. IGIB - Drawdown Comparison

The maximum VGIT drawdown since its inception was -16.05%, smaller than the maximum IGIB drawdown of -20.63%. Use the drawdown chart below to compare losses from any high point for VGIT and IGIB. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%JulyAugustSeptemberOctoberNovemberDecember
-8.27%
-3.86%
VGIT
IGIB

Volatility

VGIT vs. IGIB - Volatility Comparison

The current volatility for Vanguard Intermediate-Term Treasury ETF (VGIT) is 1.07%, while iShares Intermediate-Term Corporate Bond ETF (IGIB) has a volatility of 1.35%. This indicates that VGIT experiences smaller price fluctuations and is considered to be less risky than IGIB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.80%1.00%1.20%1.40%1.60%1.80%JulyAugustSeptemberOctoberNovemberDecember
1.07%
1.35%
VGIT
IGIB
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab