SPDR® Bloomberg Convertible Securities ETF

10-Year Study

CWB.US · · US · ETF

Executive Summary: SPDR® Bloomberg Convertible Securities ETF has compounded at 12.0% annually over the last 10 years, with a maximum drawdown of 26.5% and an annualized volatility of 12.9%.

1Y CAGR
+29.9%
3Y CAGR
+17.0%
5Y CAGR
+5.6%
10Y CAGR
+12.0%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
26.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.62
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.92
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
13.7%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2020 · +53.4%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -20.8%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20264.71.0-3.09.5————————12.4%
20253.1-1.3-3.01.33.13.82.81.75.13.0-2.6-1.216.6%
2024-1.40.92.1-3.72.10.72.21.23.30.36.8-4.310.1%
20236.0-1.60.3-1.41.34.82.9-2.8-2.6-4.25.76.014.5%
2022-7.4-1.11.6-7.7-3.0-5.95.40.1-6.73.02.5-2.7-20.8%
20212.22.9-4.02.5-1.23.1-1.12.0-2.23.2-4.5-0.22.2%
20203.1-3.5-13.111.56.96.67.49.2-2.60.213.77.153.4%
20198.03.50.22.6-5.44.81.7-1.6-0.31.72.92.922.4%
20185.0-2.4-0.0-0.23.8-0.30.52.4-0.6-6.62.6-5.5-2.0%
20172.92.10.81.70.91.33.00.30.51.7-0.1-0.315.7%
2016———0.90.80.54.51.11.2-1.10.51.210.0%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 12.9%. The dominant macroeconomic risk driver is VTI.US, accounting for 60.0% of variance. Idiosyncratic stock-specific factors contribute 8.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110087.328606677702
2016-05-0110171.190305150389
2016-06-0110226.098635100103
2016-07-0110683.386950682447
2016-08-0110798.263422556767
2016-09-0110927.882062654215
2016-10-0110808.226879470281
2016-11-0110861.604772464625
2016-12-0110997.15775994003
2017-01-0111312.740106818252
2017-02-0111546.834494174967
2017-03-0111644.438891838709
2017-04-0111841.802792266606
2017-05-0111948.964612549582
2017-06-0112106.037417621888
2017-07-0112472.06171721273
2017-08-0112503.388824686883
2017-09-0112565.35590467564
2017-10-0112777.430739919417
2017-11-0112765.749445607022
2017-12-0112722.959677671237
2018-01-0113364.119061748444
2018-02-0113044.788705999938
2018-03-0113044.070337633131
2018-04-0113023.268888403034
2018-05-0113518.06852609551
2018-06-0113471.0310147734
2018-07-0113541.243714276787
2018-08-0113860.480369803541
2018-09-0113776.337570665582
2018-10-0112861.854639722646
2018-11-0113190.523784239624
2018-12-0112469.438111003528
2019-01-0113466.127369834776
2019-02-0113941.531061623511
2019-03-0113967.95452415904
2019-04-0114336.133928850297
2019-05-0113560.29609270075
2019-06-0114207.545991192179
2019-07-0114442.23381328669
2019-08-0114210.513164881155
2019-09-0114168.785332791951
2019-10-0114412.718243433175
2019-11-0114828.497360777084
2019-12-0115261.704719367835
2020-01-0115740.20051847456
2020-02-0115191.14845238467
2020-03-0113200.986975669173
2020-04-0114718.993034950181
2020-05-0115735.827841459222
2020-06-0116781.647249898488
2020-07-0118030.48380547834
2020-08-0119697.47321735328
2020-09-0119188.837180247992
2020-10-0119224.630664959237
2020-11-0121853.73395383702
2020-12-0123409.62613611519
2021-01-0123918.60574070025
2021-02-0124607.114970172093
2021-03-0123613.392885029825
2021-04-0124201.736577443233
2021-05-0123913.702095761626
2021-06-0124648.21813411625
2021-07-0124384.295842833493
2021-08-0124871.943030265167
2021-09-0124331.38645094793
2021-10-0125107.755255020766
2021-11-0123969.92222881594
2021-12-0123919.636443139578
2022-01-0122149.29568666646
2022-02-0121896.49248836555
2022-03-0122238.529531186556
2022-04-0120526.314145610144
2022-05-0119903.551238404594
2022-06-0118731.330230814878
2022-07-0119748.32120436018
2022-08-0119777.055939032387
2022-09-0118443.733016834805
2022-10-0118993.191117218976
2022-11-0119463.285129774806
2022-12-0118942.499297248338
2023-01-0120081.893993815782
2023-02-0119758.784395789735
2023-03-0119810.06965049817
2023-04-0119534.90333260455
2023-05-0119794.890214573505
2023-06-0120753.068682262543
2023-07-0121358.028547334226
2023-08-0120751.507011899925
2023-09-0120208.92026111128
2023-10-0119355.280007496018
2023-11-0120455.13321048193
2023-12-0121687.947028141298
2024-01-0121384.358309648
2024-02-0121574.070025299057
2024-03-0122022.019552112943
2024-04-0121212.91813723959
2024-05-0121664.584439516504
2024-06-0121822.68794702814
2024-07-0122297.71683792985
2024-08-0122554.79901302433
2024-09-0123294.531030390102
2024-10-0123374.051285254704
2024-11-0124954.898959927534
2024-12-0123870.381359902545
2025-01-0124599.77511946778
2025-02-0124282.22506793266
2025-03-0123555.611081612897
2025-04-0123865.571415185677
2025-05-0124599.24415154449
2025-06-0125541.64974857107
2025-07-0126267.857700596556
2025-08-0126727.23865446481
2025-09-0128082.549895368084
2025-10-0128933.753943217667
2025-11-0128167.254895836584
2025-12-0127834.46294156229
2026-01-0129145.079176687384
2026-02-0129432.48899022394
2026-03-0128552.95624199644
2026-04-0131277.13402255052
Annual Return Matrix
YearAnnual Return
20170.15693163228210483
2018-0.019926304341955747
20190.22392882369738043
20200.5338801638854438
20210.02178634994249551
2022-0.20807745793806753
20230.14493587608535785
20240.10062890364539445
20250.16606695644664504
20260.12368376168119433
Total Factor Risk
0.12873036709475633
VTI.US Exposure
0.5998094568726247
VEA.US Exposure
-0.015375853127713682
VWO.US Exposure
0.06684099056376377
QQQ.US Exposure
-0.045836375523473465
VTV.US Exposure
-0.16042461866649924
IJR.US Exposure
0.23099671710522993
QUAL.US Exposure
-0.0822816163065526
SHV.US Exposure
0.18056597831248722
TLT.US Exposure
-0.005354671746352254
LQD.US Exposure
0.0855060096236961
HYG.US Exposure
-0.00745495735089337
GLD.US Exposure
0.014906057866463011
USO.US Exposure
-0.0010562581762257064
VNQ.US Exposure
0.07715842344094839
BTC-USD.CC Exposure
0.03333459982288707
CPER.US Exposure
0.00398472126658463
VIX.INDX Exposure
-0.03994457988603628
UUP.US Exposure
-0.0075994611786729315
TIP.US Exposure
-0.0075148386028436555
Idiosyncratic Exposure
0.07974027569057845
Value Score
33.6
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
19.1
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
12.9%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →41.1x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.59%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$78
Avg Yield on Cost
0.78%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$77.60.78%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+6.6%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+11.2%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
0.0% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is SPDR® Bloomberg Convertible Securities ETF a high-risk investment?

SPDR® Bloomberg Convertible Securities ETF (CWB.US) has an annualized volatility of 12.9% and experienced a maximum drawdown of 26.5% over the last 10 years. Its primary macro risk driver is VTI.US.

What is the 10-year return of CWB.US?

Over the past 10 years, CWB.US has generated a Compound Annual Growth Rate (CAGR) of 12.0%. It has had a positive return in 80% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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