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XJR vs. VBR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between XJR and VBR is 0.96, 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.


-0.50.00.51.01.0

Performance

XJR vs. VBR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Screened S&P Small-Cap ETF (XJR) and Vanguard Small-Cap Value ETF (VBR). The values are adjusted to include any dividend payments, if applicable.

60.00%70.00%80.00%90.00%100.00%110.00%120.00%JulyAugustSeptemberOctoberNovemberDecember
79.92%
102.52%
XJR
VBR

Key characteristics

Sharpe Ratio

XJR:

0.62

VBR:

0.89

Sortino Ratio

XJR:

1.04

VBR:

1.33

Omega Ratio

XJR:

1.12

VBR:

1.17

Calmar Ratio

XJR:

1.01

VBR:

1.60

Martin Ratio

XJR:

3.49

VBR:

4.58

Ulcer Index

XJR:

3.66%

VBR:

3.19%

Daily Std Dev

XJR:

20.61%

VBR:

16.43%

Max Drawdown

XJR:

-26.89%

VBR:

-62.01%

Current Drawdown

XJR:

-7.88%

VBR:

-8.12%

Returns By Period

In the year-to-date period, XJR achieves a 10.32% return, which is significantly lower than VBR's 12.61% return.


XJR

YTD

10.32%

1M

-4.72%

6M

12.17%

1Y

10.40%

5Y*

N/A

10Y*

N/A

VBR

YTD

12.61%

1M

-5.47%

6M

10.13%

1Y

12.39%

5Y*

9.97%

10Y*

8.68%

Compare stocks, funds, or ETFs

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


XJR vs. VBR - Expense Ratio Comparison

XJR has a 0.12% expense ratio, which is higher than VBR's 0.07% 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%.


XJR
iShares ESG Screened S&P Small-Cap ETF
Expense ratio chart for XJR: 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%
Expense ratio chart for VBR: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

XJR vs. VBR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Screened S&P Small-Cap ETF (XJR) and Vanguard Small-Cap Value ETF (VBR). 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 XJR, currently valued at 0.62, compared to the broader market0.002.004.000.620.89
The chart of Sortino ratio for XJR, currently valued at 1.04, compared to the broader market-2.000.002.004.006.008.0010.001.041.33
The chart of Omega ratio for XJR, currently valued at 1.12, compared to the broader market0.501.001.502.002.503.001.121.17
The chart of Calmar ratio for XJR, currently valued at 1.01, compared to the broader market0.005.0010.0015.001.011.60
The chart of Martin ratio for XJR, currently valued at 3.49, compared to the broader market0.0020.0040.0060.0080.00100.003.494.58
XJR
VBR

The current XJR Sharpe Ratio is 0.62, which is lower than the VBR Sharpe Ratio of 0.89. The chart below compares the historical Sharpe Ratios of XJR and VBR, 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
0.62
0.89
XJR
VBR

Dividends

XJR vs. VBR - Dividend Comparison

XJR's dividend yield for the trailing twelve months is around 1.94%, more than VBR's 1.42% yield.


TTM20232022202120202019201820172016201520142013
XJR
iShares ESG Screened S&P Small-Cap ETF
1.94%0.92%1.29%2.00%0.58%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VBR
Vanguard Small-Cap Value ETF
1.42%2.12%2.03%1.75%1.68%2.06%2.35%1.79%1.77%1.99%1.77%1.87%

Drawdowns

XJR vs. VBR - Drawdown Comparison

The maximum XJR drawdown since its inception was -26.89%, smaller than the maximum VBR drawdown of -62.01%. Use the drawdown chart below to compare losses from any high point for XJR and VBR. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.88%
-8.12%
XJR
VBR

Volatility

XJR vs. VBR - Volatility Comparison

iShares ESG Screened S&P Small-Cap ETF (XJR) has a higher volatility of 5.73% compared to Vanguard Small-Cap Value ETF (VBR) at 5.26%. This indicates that XJR's price experiences larger fluctuations and is considered to be riskier than VBR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
5.73%
5.26%
XJR
VBR
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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.

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