PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Short-term bond portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Asset Allocation


VGSH 100%BondBond
PositionCategory/SectorWeight
VGSH
Vanguard Short-Term Treasury ETF
Government Bonds
100%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Short-term bond portfolio, 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%JuneJulyAugustSeptemberOctoberNovember
3.04%
14.80%
Short-term bond portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 23, 2009, corresponding to the inception date of VGSH

Returns By Period

As of Nov 9, 2024, the Short-term bond portfolio returned 3.40% Year-To-Date and 1.27% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
25.70%3.51%14.80%37.91%14.18%11.41%
Short-term bond portfolio3.40%-0.16%3.04%5.47%1.30%1.27%
VGSH
Vanguard Short-Term Treasury ETF
3.40%-0.16%3.04%5.47%1.30%1.27%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.36%-0.45%0.32%-0.38%0.73%0.57%1.20%0.86%0.79%-0.57%3.40%
20230.74%-0.75%1.69%0.23%-0.39%-0.48%0.29%0.47%-0.11%0.35%1.05%1.16%4.31%
2022-0.72%-0.40%-1.42%-0.48%0.56%-0.59%0.39%-0.75%-1.18%-0.14%0.67%0.16%-3.86%
20210.04%-0.02%-0.08%0.07%0.08%-0.20%0.18%-0.01%-0.12%-0.30%-0.06%-0.18%-0.60%
20200.56%0.89%1.34%0.03%0.08%0.00%0.10%-0.05%0.01%-0.02%0.03%0.02%3.04%
20190.20%0.07%0.62%0.23%0.78%0.45%-0.06%0.81%-0.17%0.37%-0.03%0.21%3.52%
2018-0.31%-0.04%0.18%-0.17%0.38%0.00%-0.04%0.36%-0.15%0.12%0.40%0.83%1.56%
2017-0.20%0.05%0.06%0.16%0.10%-0.05%0.17%0.20%-0.16%-0.12%-0.17%-0.02%0.03%
20160.58%0.09%0.16%0.03%-0.15%0.71%-0.12%-0.23%0.19%-0.09%-0.46%0.40%1.10%
20150.48%-0.22%0.20%0.10%0.07%0.01%0.12%-0.08%0.27%-0.15%-0.22%-0.06%0.51%
20140.11%0.06%-0.15%0.14%0.14%-0.07%-0.01%0.14%-0.06%0.24%0.14%-0.23%0.46%
2013-0.02%0.05%0.02%0.07%-0.10%-0.01%0.08%-0.13%0.24%0.07%0.05%0.00%0.32%

Expense Ratio

Short-term bond portfolio has an expense ratio of 0.04%, 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 VGSH: 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 Short-term bond portfolio is 63, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of Short-term bond portfolio is 6363
Combined Rank
The Sharpe Ratio Rank of Short-term bond portfolio is 6161Sharpe Ratio Rank
The Sortino Ratio Rank of Short-term bond portfolio is 9090Sortino Ratio Rank
The Omega Ratio Rank of Short-term bond portfolio is 8787Omega Ratio Rank
The Calmar Ratio Rank of Short-term bond portfolio is 3030Calmar Ratio Rank
The Martin Ratio Rank of Short-term bond portfolio is 4848Martin 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.


Short-term bond portfolio
Sharpe ratio
The chart of Sharpe ratio for Short-term bond portfolio, currently valued at 2.80, compared to the broader market0.002.004.006.002.80
Sortino ratio
The chart of Sortino ratio for Short-term bond portfolio, currently valued at 4.55, compared to the broader market-2.000.002.004.006.004.55
Omega ratio
The chart of Omega ratio for Short-term bond portfolio, currently valued at 1.60, compared to the broader market0.801.001.201.401.601.802.001.60
Calmar ratio
The chart of Calmar ratio for Short-term bond portfolio, currently valued at 2.19, compared to the broader market0.005.0010.0015.002.19
Martin ratio
The chart of Martin ratio for Short-term bond portfolio, currently valued at 15.72, compared to the broader market0.0010.0020.0030.0040.0050.0060.0015.72
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.97, compared to the broader market0.002.004.006.002.97
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.97, compared to the broader market-2.000.002.004.006.003.97
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.56, compared to the broader market0.801.001.201.401.601.802.001.56
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.93, compared to the broader market0.005.0010.0015.003.93
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 19.39, compared to the broader market0.0010.0020.0030.0040.0050.0060.0019.39

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VGSH
Vanguard Short-Term Treasury ETF
2.804.551.602.1915.72

Sharpe Ratio

The current Short-term bond portfolio Sharpe ratio is 2.80. 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 2.17 to 3.06, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Short-term bond portfolio 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.80
2.97
Short-term bond portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Short-term bond portfolio provided a 4.15% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio4.15%3.32%1.15%0.66%1.75%2.28%1.79%1.10%0.84%0.71%0.46%0.34%
VGSH
Vanguard Short-Term Treasury ETF
4.15%3.32%1.15%0.66%1.75%2.28%1.79%1.10%0.84%0.71%0.46%0.34%

Monthly Dividends

The table below shows the monthly dividends paid by this portfolio.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024$0.00$0.20$0.19$0.20$0.20$0.21$0.20$0.21$0.21$0.20$0.22$2.04
2023$0.00$0.13$0.12$0.14$0.14$0.15$0.16$0.17$0.17$0.18$0.19$0.38$1.93
2022$0.00$0.02$0.02$0.02$0.03$0.04$0.05$0.06$0.06$0.07$0.09$0.21$0.67
2021$0.00$0.03$0.02$0.02$0.02$0.02$0.02$0.02$0.02$0.02$0.02$0.22$0.40
2020$0.00$0.10$0.10$0.08$0.07$0.06$0.05$0.05$0.05$0.04$0.04$0.44$1.08
2019$0.00$0.13$0.11$0.13$0.12$0.12$0.12$0.12$0.11$0.11$0.11$0.21$1.39
2018$0.00$0.06$0.07$0.08$0.08$0.09$0.09$0.09$0.10$0.10$0.11$0.22$1.08
2017$0.00$0.03$0.05$0.05$0.05$0.05$0.06$0.05$0.06$0.06$0.06$0.14$0.66
2016$0.00$0.03$0.04$0.04$0.04$0.04$0.05$0.04$0.05$0.04$0.04$0.11$0.51
2015$0.00$0.03$0.03$0.03$0.03$0.03$0.03$0.03$0.03$0.04$0.04$0.11$0.43
2014$0.00$0.01$0.02$0.01$0.02$0.02$0.02$0.02$0.02$0.02$0.02$0.09$0.28
2013$0.02$0.01$0.01$0.01$0.01$0.01$0.01$0.01$0.01$0.01$0.01$0.06$0.21

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.80%
0
Short-term bond portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Short-term bond portfolio. 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 Short-term bond portfolio was 5.70%, occurring on Oct 20, 2022. Recovery took 393 trading sessions.

The current Short-term bond portfolio drawdown is 0.80%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-5.7%Apr 21, 2021380Oct 20, 2022393May 15, 2024773
-1.09%Sep 8, 2017173May 16, 2018130Nov 19, 2018303
-0.94%Jul 6, 2016115Dec 15, 2016154Jul 28, 2017269
-0.92%Sep 25, 202431Nov 6, 2024
-0.83%Nov 5, 201067Feb 10, 201158May 5, 2011125

Volatility

Volatility Chart

The current Short-term bond portfolio volatility is 0.38%, 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.


0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
0.38%
3.92%
Short-term bond portfolio
Benchmark (^GSPC)
Portfolio components