High-sharpe bonds

Asset Allocation

Position	Category/Sector	Target Weight
VCSH Vanguard Short-Term Corporate Bond ETF	Corporate Bonds	25%
VGSH Vanguard Short-Term Treasury ETF	Government Bonds, Short-Term Bond	20%
VCIT Vanguard Intermediate-Term Corporate Bond ETF	Corporate Bonds	20%
VGIT Vanguard Intermediate-Term Treasury ETF	Government Bonds	15%
HYG iShares iBoxx $ High Yield Corporate Bond ETF	High Yield Bonds	12.50%
VCLT Vanguard Long-Term Corporate Bond ETF	Corporate Bonds	5%
VGLT Vanguard Long-Term Treasury ETF	Government Bonds, Long-Term Bond	2.50%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in High-sharpe bonds, 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 Every 3 months.

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Returns By Period

As of Jun 9, 2026, the High-sharpe bonds returned 0.14% Year-To-Date and 2.51% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.30%	0.09%	8.18%	8.17%	23.42%	19.88%	11.91%	13.45%
Portfolio High-sharpe bonds	-0.01%	-0.48%	0.14%	0.51%	4.79%	5.19%	1.38%	2.51%
Portfolio components:
HYG iShares iBoxx $ High Yield Corporate Bond ETF	0.14%	-0.24%	1.14%	1.72%	6.36%	8.34%	3.69%	4.88%
VCIT Vanguard Intermediate-Term Corporate Bond ETF	-0.01%	-0.79%	-0.26%	0.06%	5.98%	6.04%	1.04%	2.85%
VCLT Vanguard Long-Term Corporate Bond ETF	-0.30%	-0.62%	0.19%	-0.19%	6.74%	4.19%	-2.13%	2.14%
VCSH Vanguard Short-Term Corporate Bond ETF	0.03%	-0.26%	0.44%	0.92%	4.56%	5.56%	2.26%	2.66%
VGIT Vanguard Intermediate-Term Treasury ETF	-0.05%	-0.87%	-0.78%	-0.42%	3.55%	3.40%	-0.07%	1.16%
VGLT Vanguard Long-Term Treasury ETF	-0.40%	-1.25%	-1.16%	-1.18%	4.15%	-0.94%	-5.66%	-1.28%
VGSH Vanguard Short-Term Treasury ETF	0.00%	-0.20%	0.36%	0.76%	3.41%	4.14%	1.79%	1.71%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Nov 25, 2009, High-sharpe bonds's average daily return is +0.01%, while the average monthly return is +0.27%. At this rate, an investment would double in approximately 21.4 years.

Historically, 65% of months were positive and 36% were negative. The best month was Nov 2023 with a return of +3.8%, while the worst month was Sep 2022 at -3.3%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 4 months.

On a daily basis, High-sharpe bonds closed higher 55% of trading days. The best single day was Mar 23, 2020 with a return of +2.4%, while the worst single day was Mar 18, 2020 at -2.8%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	0.28%	0.97%	-1.32%	0.42%	0.31%	-0.50%							0.14%
2025	0.65%	1.46%	0.04%	0.54%	0.09%	1.34%	-0.05%	1.14%	0.80%	0.33%	0.70%	0.00%	7.24%
2024	0.11%	-0.88%	0.81%	-1.56%	1.44%	0.66%	2.04%	1.34%	1.29%	-1.68%	0.98%	-0.91%	3.62%
2023	2.80%	-2.16%	2.40%	0.50%	-0.97%	0.01%	0.35%	-0.19%	-1.59%	-0.88%	3.83%	2.88%	6.98%
2022	-1.85%	-0.91%	-2.28%	-3.10%	0.94%	-2.21%	2.73%	-2.68%	-3.31%	-0.08%	3.12%	-0.65%	-10.03%
2021	-0.55%	-0.93%	-0.61%	0.65%	0.29%	0.67%	0.76%	-0.09%	-0.67%	-0.28%	-0.14%	0.18%	-0.73%

Benchmark Metrics

High-sharpe bonds has an annualized alpha of 2.64%, beta of 0.05, and R2 of 0.05 versus S&P 500 Index. Calculated based on daily prices since November 25, 2009.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (13.87%) than losses (9.35%) - typical of diversified or defensive assets.
Beta of 0.05 may look defensive, but with R2 of 0.05 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
R2 of 0.05 means this portfolio moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.

Alpha: 2.64%

Beta: 0.05

R²: 0.05

Upside Capture: 13.87%

Downside Capture: 9.35%

Expense Ratio

High-sharpe bonds has an expense ratio of 0.09%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

HYG

iShares iBoxx $ High Yield Corporate Bond ETF

VCSH

Vanguard Short-Term Corporate Bond ETF

VCLT

Vanguard Long-Term Corporate Bond ETF

VGSH

Vanguard Short-Term Treasury ETF

VGIT

Vanguard Intermediate-Term Treasury ETF

VGLT

Vanguard Long-Term Treasury ETF

VCIT

Vanguard Intermediate-Term Corporate Bond ETF

Return for Risk

Risk / Return Rank

High-sharpe bonds ranks 30 for risk / return — below 30% of Portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for High-sharpe bonds and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	1.70	1.94	-0.24
Sortino ratioReturn per unit of downside risk	2.52	2.63	-0.10
Omega ratioGain probability vs. loss probability	1.31	1.35	-0.04
Calmar ratioReturn relative to maximum drawdown	2.39	2.59	-0.20
Martin ratioReturn relative to average drawdown	8.12	11.84	-3.72
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
HYG iShares iBoxx $ High Yield Corporate Bond ETF	60	1.67	2.49	1.32	2.73	12.02
VCIT Vanguard Intermediate-Term Corporate Bond ETF	46	1.48	2.17	1.26	2.03	6.67
VCLT Vanguard Long-Term Corporate Bond ETF	26	0.86	1.26	1.15	1.29	3.15
VCSH Vanguard Short-Term Corporate Bond ETF	82	2.45	3.82	1.48	3.27	13.41
VGIT Vanguard Intermediate-Term Treasury ETF	31	1.08	1.64	1.19	1.26	3.66
VGLT Vanguard Long-Term Treasury ETF	17	0.48	0.75	1.08	0.60	1.53
VGSH Vanguard Short-Term Treasury ETF	88	2.69	4.44	1.57	3.88	15.29

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

High-sharpe bonds Sharpe ratios as of Jun 9, 2026 (values are recalculated daily):

1-Year: 1.70
5-Year: 0.30
10-Year: 0.61
All Time: 0.88

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 1.60 to 2.48, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of High-sharpe bonds compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

High-sharpe bonds provided a 4.58% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	4.58%	4.48%	4.38%	3.62%	2.56%	2.12%	2.63%	3.06%	3.04%	2.58%	2.55%	2.63%
Portfolio components:
HYG iShares iBoxx $ High Yield Corporate Bond ETF	5.93%	5.71%	6.01%	5.74%	5.30%	4.02%	4.88%	4.99%	5.54%	5.12%	5.27%	5.90%
VCIT Vanguard Intermediate-Term Corporate Bond ETF	4.82%	4.62%	4.43%	3.72%	3.03%	2.87%	2.78%	3.37%	3.61%	3.21%	3.29%	3.34%
VCLT Vanguard Long-Term Corporate Bond ETF	5.59%	5.51%	5.19%	4.67%	4.44%	3.07%	3.16%	3.81%	4.55%	4.01%	4.33%	4.68%
VCSH Vanguard Short-Term Corporate Bond ETF	4.46%	4.35%	3.96%	3.09%	2.01%	1.81%	2.27%	2.87%	2.65%	2.26%	2.10%	2.08%
VGIT Vanguard Intermediate-Term Treasury ETF	3.88%	3.79%	3.67%	2.73%	1.74%	1.69%	2.23%	2.24%	2.05%	1.67%	1.69%	1.69%
VGLT Vanguard Long-Term Treasury ETF	4.64%	4.44%	4.33%	3.33%	2.84%	1.82%	2.15%	2.46%	2.71%	2.55%	2.69%	3.21%
VGSH Vanguard Short-Term Treasury ETF	3.88%	4.00%	4.18%	3.31%	1.15%	0.66%	1.74%	2.28%	1.79%	1.10%	0.84%	0.69%

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.

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Worst Drawdowns

The table below displays the maximum drawdowns of the High-sharpe bonds. 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 High-sharpe bonds was 14.31%, occurring on Oct 20, 2022. Recovery took 473 trading sessions.

The current High-sharpe bonds drawdown is 1.09%.

Related event	Drawdown	Fall	Recovery	Underwater
Bear market2022	-14.31%Oct 2022	1y 2mo	1y 10mo	3y 1moAug 2021 - Sep 2024
COVID crash2020	-10.20%Mar 2020	10d	2mo 14d	2mo 24dMar 2020 - Jun 2020
2013 pullback2013	-4.49%Jun 2013	1mo 22d	9mo 18d	11mo 10dMay 2013 - Apr 2014
2010 pullback2010	-3.33%Dec 2010	1mo 10d	4mo 15d	5mo 25dNov 2010 - Apr 2011
2016 pullback2016	-2.91%Dec 2016	3mo 9d	5mo 3d	8mo 12dSep 2016 - May 2017

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 7 assets, with an effective number of assets of 5.44, reflecting the diversification based on asset allocation. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	1.10	1.10	1.12	1.22	1.30

The portfolio has a diversification ratio of 1.30, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

High-sharpe bonds correlation to the S&P 500 Index

High-sharpe bonds has a 0.41 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.41
Correlation (3Y) Calculated over the trailing 3-year period	0.32
Correlation (5Y) Calculated over the trailing 5-year period	0.32
Correlation (10Y) Calculated over the trailing 10-year period	0.23
Correlation (All Time) Calculated using the full available price history since Nov 25, 2009	0.12

Benchmark Correlations

Correlation vs. S&P 500 Index. HYG has the highest benchmark correlation at 0.71, while VGLT has the lowest at -0.24.

-0.24

-0.21

-0.14

0.02

0.03

0.08

0.71

Portfolio Correlations

Correlation vs. High-sharpe bonds. VCIT has the highest portfolio correlation at 0.94, while HYG has the lowest at 0.41.

0.41

0.66

0.75

0.82

0.84

0.86

0.94

Asset Correlations Table

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

	HYG	VGSH	VCSH	VGLT	VCLT	VGIT	VCIT
HYG	1.00	0.06	0.31	-0.04	0.23	0.01	0.27
VGSH	0.06	1.00	0.66	0.56	0.48	0.75	0.62
VCSH	0.31	0.66	1.00	0.55	0.63	0.70	0.78
VGLT	-0.04	0.56	0.55	1.00	0.83	0.84	0.76
VCLT	0.23	0.48	0.63	0.83	1.00	0.72	0.84
VGIT	0.01	0.75	0.70	0.84	0.72	1.00	0.81
VCIT	0.27	0.62	0.78	0.76	0.84	0.81	1.00

The correlation results are calculated based on daily price changes starting from Nov 25, 2009

Diversification Analysis

Find what High-sharpe bonds is missing

See which holdings overlap, where High-sharpe bonds is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification