Fund Performance Analysis

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Fund Information (May 2007 - Jun 2021)

Fund information
NameiShares Intermediate Govt/Crdt Bd ETF (GVI)
Asset ClassTaxable Bond
CategoryIntermediate Core Bond
Fund BenchmarkBBgBarc US Govt/Credit Interm TR USD
Selected BenchmarkVanguard Total Bond Market ETF (BND)
Effective Duration4.13
Yield (SEC)0.70%
Yield (TTM)1.65%
Assets2.36 B
Equity Holdings0
Bond Holdings3220
Total Holdings3311
Turnover26%
Expense Ratio0.20%
Inception Date01/05/2007

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
iShares Intermediate Govt/Crdt Bd ETF$10,000$16,241 3.48% 3.17%8.18%-1.10%-4.54% 0.871.690.01
Vanguard Total Bond Market ETF$10,000$17,614 4.08% 3.68%8.83%-2.10%-4.01% 0.911.650.05
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
iShares Intermediate Govt/Crdt Bd ETF1.03%-1.10%-0.17%4.49%2.40%2.55%3.48%2.46%2.37%
Vanguard Total Bond Market ETF1.93%-1.78%-0.59%5.41%2.98%3.28%4.08%3.91%3.59%
Trailing annualized return and volatility are for full months ending in June 2021 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Fund fundamentals data as of 07/28/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
  • Displayed expense ratio is the prospectus net expense ratio
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns

Up vs. Down Market Performance

iShares Intermediate Govt/Crdt Bd ETF vs. Vanguard Total Bond Market ETF

Up vs. Down Market Performance - iShares Intermediate Govt/Crdt Bd ETF vs. Vanguard Total Bond Market ETF
Market TypeOccurrencesAverage Active Return
Above BenchmarkBelow BenchmarkTotal% Above BenchmarkAbove BenchmarkBelow BenchmarkTotal
Up Market268210824%0.21%-0.31%-0.19%
Down Market47156276%0.34%-0.31%0.19%
Total739717043%0.30%-0.31%-0.05%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryiShares Intermediate Govt/Crdt Bd ETFVanguard Total Bond Market ETF
Large-cap Value0.00%0.00%
Large-cap Growth0.00%1.23%
Mid-cap Value0.07%2.13%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.67%0.00%
Emerging Markets0.84%1.59%
Corporate Bonds21.28%16.73%
Long-Term Treasuries0.00%7.69%
Intermediate-Term Treasuries22.04%21.71%
Short-Term Treasuries55.10%48.92%
R Squared90.71%90.61%
Style analysis is based on monthly returns from May 2007 to June 2021 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for iShares Intermediate Govt/Crdt Bd ETF

Holdings Based Style Analysis for iShares Intermediate Govt/Crdt Bd ETF
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
GVIiShares Intermediate Govt/Crdt Bd ETFIntermediate Core Bond100.00%0.70%0.20%4.13$6,241100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Vanguard Total Bond Market ETF

Holdings Based Style Analysis for Vanguard Total Bond Market ETF
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
BNDVanguard Total Bond Market ETFIntermediate Core Bond100.00%1.36%0.04%6.79$7,614100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Portfolio return and risk metrics
MetriciShares Intermediate Govt/Crdt Bd ETFVanguard Total Bond Market ETF
Arithmetic Mean (monthly)0.29%0.34%
Arithmetic Mean (annualized)3.53%4.15%
Geometric Mean (monthly)0.29%0.33%
Geometric Mean (annualized)3.48%4.08%
Volatility (monthly)0.91%1.06%
Volatility (annualized)3.17%3.68%
Downside Deviation (monthly)0.44%0.56%
Max. Drawdown-4.54%-4.01%
US Market Correlation0.010.05
Beta(*)0.801.00
Alpha (annualized)0.23%0.00%
R285.57%100.00%
Sharpe Ratio0.870.91
Sortino Ratio1.691.65
Treynor Ratio (%)3.433.33
Calmar Ratio2.121.40
Active Return-0.59%N/A
Tracking Error1.42%N/A
Information Ratio-0.42N/A
Skewness1.300.43
Excess Kurtosis7.682.80
Historical Value-at-Risk (5%)-1.10%-1.29%
Analytical Value-at-Risk (5%)-1.21%-1.41%
Conditional Value-at-Risk (5%)-1.52%-1.88%
Upside Capture Ratio (%)79.33100.00
Downside Capture Ratio (%)72.39100.00
Safe Withdrawal Rate8.46%8.73%
Perpetual Withdrawal Rate1.50%2.07%
Positive Periods109 out of 170 (64.12%)108 out of 170 (63.53%)
Gain/Loss Ratio1.381.37
* Vanguard Total Bond Market ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

iShares Intermediate Govt/Crdt Bd ETF Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2007-0.70%-0.01%1.06%1.29%0.59%0.83%2.01%0.82%6.02%
20082.04%0.79%0.02%-0.42%-1.13%0.29%0.51%0.44%-2.63%-1.64%4.54%5.39%8.18%
2009-1.39%-1.24%0.57%-0.29%0.97%0.41%1.33%0.83%0.88%0.26%1.10%-1.45%1.95%
20101.43%0.32%-0.42%0.88%0.86%1.32%1.08%0.83%0.65%0.20%-0.71%-1.08%5.46%
20110.30%0.07%-0.07%1.12%1.03%-0.10%1.22%1.20%0.10%0.27%-0.43%1.11%5.95%
20120.91%-0.23%-0.44%0.90%0.51%0.06%0.97%0.20%0.24%0.06%0.26%-0.27%3.18%
2013-0.26%0.40%0.11%0.58%-1.27%-1.13%0.42%-0.65%0.91%0.47%-0.06%-0.46%-0.94%
20140.86%0.28%-0.31%0.62%0.68%-0.05%-0.22%0.59%-0.52%0.70%0.47%-0.25%2.88%
20151.85%-0.92%0.40%-0.00%-0.16%-0.52%0.38%-0.15%0.68%-0.17%-0.21%-0.37%0.79%
20161.19%0.62%0.71%0.12%-0.15%1.62%0.13%-0.35%0.21%-0.47%-1.85%0.22%1.97%
20170.20%0.38%0.04%0.69%0.52%-0.31%0.53%0.60%-0.45%-0.08%-0.31%0.02%1.83%
2018-0.91%-0.49%0.38%-0.53%0.54%0.03%0.02%0.48%-0.33%-0.20%0.46%1.33%0.77%
20190.81%0.09%1.37%0.14%1.35%0.94%0.00%1.86%-0.43%0.40%-0.21%0.07%6.54%
20201.50%1.23%-0.54%1.75%0.77%0.58%0.66%-0.15%-0.04%-0.27%0.50%0.24%6.38%
2021-0.37%-0.97%-0.78%0.61%0.30%0.12%-1.10%

Vanguard Total Bond Market ETF Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2007-0.79%-0.31%0.92%1.48%0.60%0.92%1.96%0.84%5.74%
20081.25%0.09%0.40%-0.34%-0.99%0.04%0.02%0.84%-0.52%-2.95%3.92%5.13%6.86%
2009-2.08%-0.59%1.09%0.46%0.67%0.62%1.31%1.01%1.00%0.27%1.30%-1.45%3.64%
20101.29%0.33%-0.22%1.07%1.13%1.45%0.86%1.56%-0.00%0.32%-0.68%-1.02%6.20%
20110.09%0.29%-0.15%1.46%1.18%-0.38%1.63%1.66%0.66%0.11%-0.06%1.18%7.92%
20120.63%0.04%-0.51%1.10%0.93%0.07%1.23%0.16%0.18%-0.10%0.27%-0.88%3.16%
2013-0.69%0.54%0.08%1.01%-1.93%-1.65%0.38%-0.86%1.11%0.86%-0.29%-0.64%-2.10%
20141.55%0.47%-0.17%0.80%1.05%0.08%-0.28%1.14%-0.57%0.72%0.83%0.06%5.82%
20152.40%-1.31%0.55%-0.32%-0.50%-1.11%0.88%-0.25%0.81%0.03%-0.39%-0.18%0.56%
20161.20%0.85%0.88%0.40%-0.01%2.02%0.60%-0.31%0.11%-0.94%-2.57%0.33%2.52%
20170.19%0.62%-0.04%0.80%0.71%0.05%0.40%0.86%-0.47%-0.03%-0.11%0.54%3.57%
2018-1.24%-1.04%0.69%-0.85%0.68%-0.04%-0.04%0.67%-0.55%-0.86%0.64%1.87%-0.12%
20191.11%-0.09%1.94%-0.02%1.83%1.25%0.15%2.77%-0.57%0.31%-0.04%-0.07%8.83%
20201.98%1.67%-1.43%2.76%0.67%0.67%1.45%-0.94%-0.10%-0.56%1.21%0.15%7.71%
2021-0.86%-1.55%-1.27%0.87%0.15%0.90%-1.78%
Rolling returns summary
Roll PeriodiShares Intermediate Govt/Crdt Bd ETFVanguard Total Bond Market ETF
AverageHighLowAverageHighLow
1 year3.52%12.73%-1.51%4.23%13.42%-3.62%
3 years3.15%7.63%0.56%3.87%8.67%0.94%
5 years2.84%6.00%0.81%3.54%6.84%1.35%
7 years2.73%4.64%1.33%3.44%5.17%1.69%
10 years2.92%3.77%2.37%3.63%4.35%3.08%