PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
BND
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Asset Allocation


BND 100%BondBond
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF
Total Bond Market

100%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in BND, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


50.00%100.00%150.00%200.00%250.00%300.00%FebruaryMarchAprilMayJuneJuly
63.31%
274.70%
BND
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 10, 2007, corresponding to the inception date of BND

Returns By Period

As of Jul 25, 2024, the BND returned 0.34% Year-To-Date and 1.38% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
13.78%-0.38%11.47%18.82%12.44%10.64%
BND0.34%0.21%1.83%3.63%-0.09%1.38%
BND
Vanguard Total Bond Market ETF
0.34%0.21%1.83%3.63%-0.09%1.38%

Monthly Returns

The table below presents the monthly returns of BND, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.16%-1.36%0.85%-2.41%1.68%0.88%0.34%
20233.31%-2.67%2.68%0.59%-1.16%-0.22%-0.12%-0.66%-2.48%-1.52%4.54%3.55%5.65%
2022-2.06%-1.14%-2.75%-3.97%0.83%-1.66%2.38%-2.80%-4.18%-1.16%3.67%-0.81%-13.11%
2021-0.86%-1.55%-1.27%0.87%0.15%0.90%1.17%-0.19%-1.01%0.07%0.20%-0.46%-2.01%
20201.98%1.67%-1.43%2.76%0.67%0.67%1.45%-0.94%-0.10%-0.56%1.21%-0.01%7.54%
20191.11%-0.09%1.94%-0.03%1.83%1.25%0.15%2.77%-0.57%0.31%-0.04%-0.07%8.84%
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%-0.11%
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%
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%
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%
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%
2013-0.69%0.54%0.08%1.02%-1.93%-1.65%0.38%-0.86%1.12%0.86%-0.29%-0.64%-2.10%

Expense Ratio

BND has an expense ratio of 0.03%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for BND: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of BND is 8, indicating that it is in the bottom 8% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of BND is 88
BND
The Sharpe Ratio Rank of BND is 88Sharpe Ratio Rank
The Sortino Ratio Rank of BND is 88Sortino Ratio Rank
The Omega Ratio Rank of BND is 77Omega Ratio Rank
The Calmar Ratio Rank of BND is 66Calmar Ratio Rank
The Martin Ratio Rank of BND is 99Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. 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.


BND
Sharpe ratio
The chart of Sharpe ratio for BND, currently valued at 0.54, compared to the broader market-1.000.001.002.003.004.000.54
Sortino ratio
The chart of Sortino ratio for BND, currently valued at 0.82, compared to the broader market-2.000.002.004.006.000.82
Omega ratio
The chart of Omega ratio for BND, currently valued at 1.09, compared to the broader market0.801.001.201.401.601.09
Calmar ratio
The chart of Calmar ratio for BND, currently valued at 0.20, compared to the broader market0.002.004.006.008.000.20
Martin ratio
The chart of Martin ratio for BND, currently valued at 1.59, compared to the broader market0.0010.0020.0030.0040.001.59
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.33, compared to the broader market-2.000.002.004.006.002.33
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.002.004.006.008.001.35
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.32, compared to the broader market0.0010.0020.0030.0040.006.32

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BND
Vanguard Total Bond Market ETF
0.540.821.090.201.59

Sharpe Ratio

The current BND Sharpe ratio is 0.54. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.23 to 1.94, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of BND with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
0.54
1.66
BND
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

BND granted a 3.42% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
BND3.42%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%
BND
Vanguard Total Bond Market ETF
3.42%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%FebruaryMarchAprilMayJuneJuly
-10.29%
-4.24%
BND
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the BND. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the BND was 18.84%, occurring on Oct 20, 2022. The portfolio has not yet recovered.

The current BND drawdown is 10.29%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-18.84%Aug 7, 2020556Oct 20, 2022
-9.31%Sep 16, 200819Oct 10, 200845Dec 15, 200864
-8.67%Mar 9, 20204Mar 12, 202049May 21, 202053
-5.18%May 3, 201387Sep 5, 2013173May 14, 2014260
-4.75%Jul 11, 2016112Dec 15, 2016180Sep 5, 2017292

Volatility

Volatility Chart

The current BND volatility is 1.51%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%FebruaryMarchAprilMayJuneJuly
1.51%
3.80%
BND
Benchmark (^GSPC)
Portfolio components