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Облигации США

Last updated Mar 2, 2024

Asset Allocation


BIL 12.5%BND 12.5%AGG 12.5%TIP 12.5%BWX 12.5%TLT 12.5%HYG 12.5%PHB 12.5%BondBond
PositionCategory/SectorWeight
BIL
SPDR Barclays 1-3 Month T-Bill ETF
Government Bonds

12.50%

BND
Vanguard Total Bond Market ETF
Total Bond Market

12.50%

AGG
iShares Core U.S. Aggregate Bond ETF
Total Bond Market

12.50%

TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds

12.50%

BWX
SPDR Bloomberg Barclays International Treasury Bond ETF
International Government Bonds

12.50%

TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds

12.50%

HYG
iShares iBoxx $ High Yield Corporate Bond ETF
High Yield Bonds

12.50%

PHB
Invesco Fundamental High Yield® Corporate Bond ETF
High Yield Bonds

12.50%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in Облигации США, 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%OctoberNovemberDecember2024FebruaryMarch
57.12%
253.58%
Облигации США
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 15, 2007, corresponding to the inception date of PHB

Returns

As of Mar 2, 2024, the Облигации США returned -1.08% Year-To-Date and 1.66% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.57%3.48%13.62%26.83%13.14%10.60%
Облигации США-1.09%-0.27%3.54%4.11%1.03%1.71%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
0.91%0.41%2.65%5.17%1.83%1.19%
BND
Vanguard Total Bond Market ETF
-1.34%-0.89%3.07%3.69%0.55%1.46%
AGG
iShares Core U.S. Aggregate Bond ETF
-1.39%-0.90%3.08%3.58%0.55%1.50%
TIP
iShares TIPS Bond ETF
-0.34%0.11%2.69%1.94%2.61%2.02%
BWX
SPDR Bloomberg Barclays International Treasury Bond ETF
-3.83%-0.38%2.04%2.26%-3.04%-1.90%
TLT
iShares 20+ Year Treasury Bond ETF
-3.85%-1.36%1.54%-3.93%-2.55%1.29%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
0.77%0.53%5.99%9.56%3.12%3.28%
PHB
Invesco Fundamental High Yield® Corporate Bond ETF
0.31%0.18%6.21%9.87%3.50%3.52%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.58%-0.71%
2023-0.90%-2.69%-1.45%4.74%3.77%

Sharpe Ratio

The current Облигации США Sharpe ratio is 0.72. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

0.002.004.000.72

The Sharpe ratio of Облигации США is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
0.75
2.35
Облигации США
Benchmark (^GSPC)
Portfolio components

Dividend yield

Облигации США granted a 3.80% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Облигации США3.80%3.66%3.25%2.24%2.13%2.71%2.99%2.47%2.36%2.32%2.68%2.76%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.11%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%
BND
Vanguard Total Bond Market ETF
3.25%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%
AGG
iShares Core U.S. Aggregate Bond ETF
3.30%3.13%2.39%1.77%2.14%2.70%2.96%2.32%2.39%2.45%2.40%2.32%
TIP
iShares TIPS Bond ETF
2.74%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%1.15%
BWX
SPDR Bloomberg Barclays International Treasury Bond ETF
1.75%1.63%1.23%1.00%0.95%1.16%1.17%0.46%0.00%0.00%1.77%1.86%
TLT
iShares 20+ Year Treasury Bond ETF
3.62%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
5.77%5.74%5.30%4.02%4.88%4.99%5.54%5.12%5.27%5.90%5.69%6.10%
PHB
Invesco Fundamental High Yield® Corporate Bond ETF
4.90%4.68%3.52%3.37%3.90%4.03%4.44%4.14%4.58%4.69%4.48%4.63%

Expense Ratio

The Облигации США has a high expense ratio of 0.24%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.50%
0.50%1.00%1.50%2.00%0.19%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.14%
0.50%1.00%1.50%2.00%0.05%
0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.35
Облигации США
0.75
BIL
SPDR Barclays 1-3 Month T-Bill ETF
18.81
BND
Vanguard Total Bond Market ETF
0.63
AGG
iShares Core U.S. Aggregate Bond ETF
0.61
TIP
iShares TIPS Bond ETF
0.45
BWX
SPDR Bloomberg Barclays International Treasury Bond ETF
0.30
TLT
iShares 20+ Year Treasury Bond ETF
-0.09
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
1.60
PHB
Invesco Fundamental High Yield® Corporate Bond ETF
1.84

Asset Correlations Table

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

BILHYGPHBBWXTIPTLTBNDAGG
BIL1.00-0.01-0.010.030.000.020.010.00
HYG-0.011.000.750.260.06-0.120.050.07
PHB-0.010.751.000.250.07-0.080.090.10
BWX0.030.260.251.000.380.310.410.42
TIP0.000.060.070.381.000.730.750.73
TLT0.02-0.12-0.080.310.731.000.850.83
BND0.010.050.090.410.750.851.000.91
AGG0.000.070.100.420.730.830.911.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-9.94%
-0.12%
Облигации США
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Облигации США. 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 США was 18.07%, occurring on Oct 20, 2022. The portfolio has not yet recovered.

The current Облигации США drawdown is 9.93%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-18.07%Sep 15, 2021278Oct 20, 2022
-14.45%Apr 14, 2008127Oct 10, 2008201Jul 30, 2009328
-10.54%Mar 9, 20208Mar 18, 202075Jul 6, 202083
-6.44%May 3, 201387Sep 5, 2013174May 15, 2014261
-4.97%Sep 7, 201672Dec 16, 2016155Aug 1, 2017227

Volatility Chart

The current Облигации США volatility is 1.79%, 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%2.00%3.00%4.00%5.00%OctoberNovemberDecember2024FebruaryMarch
1.79%
3.33%
Облигации США
Benchmark (^GSPC)
Portfolio components
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