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облигации
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VTC 50%VWOB 50%BondBond
PositionCategory/SectorWeight
VTC
Vanguard Total Corporate Bond ETF
Corporate Bonds

50%

VWOB
Vanguard Emerging Markets Government Bond ETF
Emerging Markets Bonds

50%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in облигации, 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


0.00%5.00%10.00%15.00%2024FebruaryMarchAprilMayJune
1.62%
15.60%
облигации
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 9, 2017, corresponding to the inception date of VTC

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.04%3.37%16.79%25.03%13.26%10.85%
облигации1.41%0.85%1.62%7.06%0.56%N/A
VTC
Vanguard Total Corporate Bond ETF
0.46%1.28%0.86%5.42%0.75%N/A
VWOB
Vanguard Emerging Markets Government Bond ETF
2.36%0.42%2.38%8.71%0.28%2.46%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.71%-0.56%1.63%-2.33%2.21%1.41%
20234.21%-3.06%2.42%0.41%-1.30%1.42%0.87%-1.25%-3.08%-1.66%6.16%4.59%9.63%
2022-3.21%-3.42%-2.08%-6.05%1.15%-4.40%3.97%-3.17%-5.69%-0.42%7.45%-1.14%-16.49%
2021-1.58%-2.33%-1.15%1.60%0.85%1.29%0.96%0.26%-1.79%0.17%-0.78%0.98%-1.60%
20201.84%-0.25%-9.47%3.55%4.10%2.18%3.32%-0.34%-1.20%-0.34%3.56%1.18%7.60%
20193.16%0.27%2.00%0.36%0.91%2.96%0.77%1.97%-0.59%0.49%0.01%1.43%14.54%
2018-0.66%-1.79%0.44%-1.27%0.01%-0.77%1.55%-0.75%0.66%-1.41%-0.25%1.54%-2.73%
20170.34%0.87%1.21%

Expense Ratio

облигации features an expense ratio of 0.12%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for VWOB: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for VTC: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of облигации is 15, indicating that it is in the bottom 15% 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 облигации is 1515
облигации
The Sharpe Ratio Rank of облигации is 1616Sharpe Ratio Rank
The Sortino Ratio Rank of облигации is 1616Sortino Ratio Rank
The Omega Ratio Rank of облигации is 1515Omega Ratio Rank
The Calmar Ratio Rank of облигации is 99Calmar Ratio Rank
The Martin Ratio Rank of облигации is 1818Martin 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.


облигации
Sharpe ratio
The chart of Sharpe ratio for облигации, currently valued at 0.97, compared to the broader market0.002.004.006.000.97
Sortino ratio
The chart of Sortino ratio for облигации, currently valued at 1.45, compared to the broader market-2.000.002.004.006.001.45
Omega ratio
The chart of Omega ratio for облигации, currently valued at 1.17, compared to the broader market0.801.001.201.401.601.801.17
Calmar ratio
The chart of Calmar ratio for облигации, currently valued at 0.37, compared to the broader market0.002.004.006.008.0010.000.37
Martin ratio
The chart of Martin ratio for облигации, currently valued at 3.08, compared to the broader market0.0010.0020.0030.0040.0050.003.08
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.17, compared to the broader market0.002.004.006.002.17
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.07, compared to the broader market-2.000.002.004.006.003.07
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.73, compared to the broader market0.002.004.006.008.0010.001.73
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.12, compared to the broader market0.0010.0020.0030.0040.0050.008.12

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTC
Vanguard Total Corporate Bond ETF
0.791.201.140.292.36
VWOB
Vanguard Emerging Markets Government Bond ETF
1.071.601.190.443.39

Sharpe Ratio

The current облигации Sharpe ratio is 0.97. 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 1.41 to 2.40, 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 облигации 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 Ratio0.501.001.502.002.503.002024FebruaryMarchAprilMayJune
0.97
2.17
облигации
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

облигации granted a 4.90% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
облигации4.90%4.65%4.21%3.20%3.43%3.96%4.03%2.58%2.36%2.46%2.24%1.19%
VTC
Vanguard Total Corporate Bond ETF
4.13%3.80%3.13%2.36%2.69%3.34%3.53%0.55%0.00%0.00%0.00%0.00%
VWOB
Vanguard Emerging Markets Government Bond ETF
5.66%5.50%5.30%4.04%4.18%4.58%4.52%4.61%4.71%4.93%4.49%2.39%

Drawdowns

Drawdowns Chart

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


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune
-8.89%
0
облигации
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the облигации. 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 облигации was 24.46%, occurring on Oct 20, 2022. The portfolio has not yet recovered.

The current облигации drawdown is 8.89%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-24.46%Sep 15, 2021278Oct 20, 2022
-21.9%Mar 5, 202011Mar 19, 202084Jul 20, 202095
-6.18%Jan 4, 202144Mar 8, 2021125Sep 2, 2021169
-4.57%Jan 8, 2018225Nov 27, 201843Jan 31, 2019268
-2.86%Aug 7, 202033Sep 23, 202041Nov 19, 202074

Volatility

Volatility Chart

The current облигации volatility is 1.75%, 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.


1.00%1.50%2.00%2.50%3.00%3.50%4.00%4.50%2024FebruaryMarchAprilMayJune
1.75%
2.33%
облигации
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

VTCVWOB
VTC1.000.65
VWOB0.651.00
The correlation results are calculated based on daily price changes starting from Nov 10, 2017