WATFX vs. AGG
WATFX (Western Asset Core Bond Fund) and AGG (iShares Core U.S. Aggregate Bond ETF) are both funds - WATFX is a Intermediate Core Bond fund managed by Franklin Templeton, while AGG is a Total Bond Market fund tracking the Bloomberg U.S. Aggregate Bond Index. Over the past 10 years, WATFX returned 1.54%/yr vs 1.57%/yr for AGG. Their correlation of 0.80 suggests significant overlap in exposure. WATFX charges 0.46%/yr vs 0.03%/yr for AGG.
Performance
WATFX vs. AGG - Performance Comparison
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Returns By Period
In the year-to-date period, WATFX achieves a 0.02% return, which is significantly lower than AGG's 0.25% return. Both investments have delivered pretty close results over the past 10 years, with WATFX having a 1.54% annualized return and AGG not far ahead at 1.57%.
WATFX
- 1D
- 0.00%
- 1M
- 0.50%
- YTD
- 0.02%
- 6M
- 0.02%
- 1Y
- 5.58%
- 3Y*
- 3.69%
- 5Y*
- -0.89%
- 10Y*
- 1.54%
AGG
- 1D
- -0.21%
- 1M
- 0.24%
- YTD
- 0.25%
- 6M
- 0.09%
- 1Y
- 5.14%
- 3Y*
- 3.95%
- 5Y*
- 0.10%
- 10Y*
- 1.57%
WATFX vs. AGG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
WATFX Western Asset Core Bond Fund | 0.02% | 8.01% | 0.44% | 5.52% | -17.32% | -2.13% | 9.12% | 10.44% | -0.62% | 5.21% |
AGG iShares Core U.S. Aggregate Bond ETF | 0.25% | 7.19% | 1.31% | 5.65% | -13.02% | -1.77% | 7.48% | 8.46% | 0.09% | 3.55% |
Correlation
The correlation between WATFX and AGG is 0.92, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.92 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.95 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.96 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.91 |
Correlation (All Time) Calculated using the full available price history since Sep 29, 2003 | 0.80 |
The correlation between WATFX and AGG shifts across timeframes, from 0.80 (all time) to 0.96 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
WATFX vs. AGG — Risk / Return Rank
WATFX
AGG
WATFX vs. AGG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Western Asset Core Bond Fund (WATFX) and iShares Core U.S. Aggregate Bond ETF (AGG). 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.
| WATFX | AGG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.02 | ||
| Sortino ratioReturn per unit of downside risk | +0.04 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.24 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 1.84 | 1.87 | -0.02 |
| Martin ratioReturn relative to average drawdown | 5.47 | 5.73 | -0.26 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| WATFX | AGG | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.36 | 1.34 | +0.02 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.13 | 0.02 | -0.15 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.28 | 0.29 | -0.01 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.56 | 0.59 | -0.03 |
Drawdowns
WATFX vs. AGG - Drawdown Comparison
The maximum WATFX drawdown since its inception was -23.69%, which is greater than AGG's maximum drawdown of -18.43%. Use the drawdown chart below to compare losses from any high point for WATFX and AGG.
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Drawdown Indicators
| WATFX | AGG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.69% | -18.43% | -5.26% |
Max Drawdown (1Y)Largest decline over 1 year | -3.04% | -2.76% | -0.28% |
Max Drawdown (3Y)Largest decline over 3 years | -8.35% | -6.11% | -2.24% |
Max Drawdown (5Y)Largest decline over 5 years | -23.26% | -17.82% | -5.44% |
Max Drawdown (10Y)Largest decline over 10 years | -23.69% | -18.43% | -5.26% |
Current DrawdownCurrent decline from peak | -7.35% | -2.14% | -5.21% |
Average DrawdownAverage peak-to-trough decline | -2.98% | -2.71% | -0.27% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.02% | 0.90% | +0.12% |
Volatility
WATFX vs. AGG - Volatility Comparison
Western Asset Core Bond Fund (WATFX) has a higher volatility of 1.42% compared to iShares Core U.S. Aggregate Bond ETF (AGG) at 1.30%. This indicates that WATFX's price experiences larger fluctuations and is considered to be riskier than AGG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| WATFX | AGG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.42% | 1.30% | +0.12% |
Volatility (6M)Calculated over the trailing 6-month period | 2.87% | 2.74% | +0.13% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.13% | 3.85% | +0.28% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.83% | 6.09% | +0.74% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.53% | 5.40% | +0.13% |
WATFX vs. AGG - Expense Ratio Comparison
WATFX has a 0.46% expense ratio, which is higher than AGG's 0.03% expense ratio.
Dividends
WATFX vs. AGG - Dividend Comparison
WATFX's dividend yield for the trailing twelve months is around 3.93%, less than AGG's 3.99% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AGG iShares Core U.S. Aggregate Bond ETF | 3.99% | 3.89% | 3.74% | 3.13% | 2.39% | 1.77% | 2.14% | 2.70% | 2.72% | 2.32% | 2.39% | 2.45% |
WATFX Western Asset Core Bond Fund | 3.93% | 4.15% | 4.48% | 3.35% | 2.39% | 2.05% | 3.90% | 3.62% | 2.92% | 2.34% | 2.51% | 2.74% |
Frequently Asked Questions
With a correlation of 0.92, WATFX and AGG move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
WATFX has higher volatility (1.42%) compared to AGG (1.30%). In terms of maximum drawdown, WATFX dropped -23.69% vs AGG's -18.43%.
WATFX currently has the higher Sharpe Ratio (1.36 vs 1.34), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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