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Облигации США
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

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
AGG
iShares Core U.S. Aggregate Bond ETF
Total Bond Market
12.50%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
Government Bonds
12.50%
BND
Vanguard Total Bond Market ETF
Total Bond Market
12.50%
BWX
SPDR Bloomberg Barclays International Treasury Bond ETF
International 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%
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds
12.50%
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds
12.50%

Performance

Performance Chart

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


-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
1.50%
8.86%
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 By Period

As of Dec 19, 2024, the Облигации США returned 1.37% Year-To-Date and 1.63% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
24.34%0.23%8.53%24.95%13.01%11.06%
Облигации США1.41%-0.37%1.50%1.59%0.12%1.67%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.08%0.36%2.49%5.17%2.33%1.61%
BND
Vanguard Total Bond Market ETF
1.48%-0.22%1.35%1.74%-0.35%1.35%
AGG
iShares Core U.S. Aggregate Bond ETF
1.37%-0.23%1.29%1.81%-0.33%1.36%
TIP
iShares TIPS Bond ETF
1.64%-0.82%0.59%1.71%1.64%2.10%
BWX
SPDR Bloomberg Barclays International Treasury Bond ETF
-5.14%-0.04%0.93%-4.97%-4.17%-1.50%
TLT
iShares 20+ Year Treasury Bond ETF
-7.02%-1.58%-4.15%-6.64%-6.03%-0.91%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
8.40%-0.18%5.76%8.29%3.17%4.04%
PHB
Invesco Fundamental High Yield® Corporate Bond ETF
5.53%-0.33%3.34%5.53%3.15%4.02%
*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.58%-0.82%0.79%-2.38%1.63%0.59%2.33%1.57%1.54%-2.37%1.04%1.41%
20233.37%-2.51%2.80%0.25%-1.30%0.45%0.10%-0.90%-2.69%-1.45%4.74%3.77%6.45%
2022-2.25%-0.74%-2.42%-4.31%0.35%-3.12%3.29%-3.35%-4.56%-0.03%3.95%-1.06%-13.72%
2021-0.88%-1.63%-1.05%1.07%0.32%0.93%1.30%-0.07%-1.09%0.36%0.14%0.16%-0.51%
20201.69%1.12%-2.63%2.68%0.95%0.52%2.91%-0.66%-0.46%-0.42%1.83%0.75%8.46%
20191.88%-0.04%1.83%-0.03%1.30%1.69%0.02%2.83%-0.68%0.07%-0.05%0.25%9.38%
2018-0.44%-1.09%0.86%-0.78%0.24%0.06%0.19%0.50%-0.59%-1.35%0.48%1.10%-0.86%
20170.67%0.72%-0.05%0.90%0.86%0.12%0.64%0.89%-0.58%-0.02%0.29%0.56%5.11%
20160.87%1.55%1.64%0.98%-0.33%2.56%0.96%0.07%0.28%-1.56%-2.61%0.43%4.84%
20152.11%-0.83%-0.17%0.02%-0.91%-1.38%0.71%-0.63%-0.15%0.80%-1.05%-0.58%-2.10%
20141.63%1.05%-0.03%0.91%1.17%0.33%-0.71%1.53%-1.75%0.92%0.15%0.04%5.33%
2013-0.65%0.17%0.20%1.73%-2.96%-2.01%0.87%-1.02%1.09%1.25%-0.63%-0.51%-2.53%

Expense Ratio

Облигации США has an expense ratio of 0.24%, 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 PHB: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for HYG: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
Expense ratio chart for BWX: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for TIP: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for TLT: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for BIL: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
Expense ratio chart for AGG: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
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 Облигации США is 4, meaning it’s performing worse than 96% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Облигации США is 44
Overall Rank
The Sharpe Ratio Rank of Облигации США is 55
Sharpe Ratio Rank
The Sortino Ratio Rank of Облигации США is 44
Sortino Ratio Rank
The Omega Ratio Rank of Облигации США is 44
Omega Ratio Rank
The Calmar Ratio Rank of Облигации США is 44
Calmar Ratio Rank
The Martin Ratio Rank of Облигации США is 55
Martin 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.


Sharpe ratio
The chart of Sharpe ratio for Облигации США, currently valued at 0.30, compared to the broader market-6.00-4.00-2.000.002.004.000.302.10
The chart of Sortino ratio for Облигации США, currently valued at 0.44, compared to the broader market-6.00-4.00-2.000.002.004.006.000.442.80
The chart of Omega ratio for Облигации США, currently valued at 1.05, compared to the broader market0.400.600.801.001.201.401.601.801.051.39
The chart of Calmar ratio for Облигации США, currently valued at 0.13, compared to the broader market0.002.004.006.008.0010.0012.000.133.09
The chart of Martin ratio for Облигации США, currently valued at 0.82, compared to the broader market0.0010.0020.0030.0040.0050.000.8213.49
Облигации США
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BIL
SPDR Barclays 1-3 Month T-Bill ETF
20.41270.79157.34480.444,409.89
BND
Vanguard Total Bond Market ETF
0.310.461.050.120.87
AGG
iShares Core U.S. Aggregate Bond ETF
0.300.451.050.130.86
TIP
iShares TIPS Bond ETF
0.290.431.050.121.00
BWX
SPDR Bloomberg Barclays International Treasury Bond ETF
-0.50-0.640.92-0.14-0.84
TLT
iShares 20+ Year Treasury Bond ETF
-0.54-0.660.93-0.17-1.13
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
1.942.791.353.6913.41
PHB
Invesco Fundamental High Yield® Corporate Bond ETF
1.361.911.252.618.48

The current Облигации США Sharpe ratio is 0.33. 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 1.28 to 2.10, 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 США 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.30
2.10
Облигации США
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Облигации США provided a 4.06% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio4.06%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
5.03%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
3.33%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
3.74%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
2.52%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
1.97%1.62%1.23%1.00%0.95%1.16%1.17%0.46%0.00%0.00%1.77%1.88%
TLT
iShares 20+ Year Treasury Bond ETF
4.25%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
6.49%5.75%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
5.16%4.68%3.53%3.38%3.89%4.03%4.45%4.14%4.58%4.70%4.48%4.62%

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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.66%
-2.62%
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 7.70%.


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, 2013173May 14, 2014260
-4.97%Sep 7, 201672Dec 16, 2016155Aug 1, 2017227

Volatility

Volatility Chart

The current Облигации США volatility is 1.68%, 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%6.00%JulyAugustSeptemberOctoberNovemberDecember
1.68%
3.79%
Облигации США
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.

BILHYGPHBBWXTIPTLTBNDAGG
BIL1.00-0.01-0.010.030.000.020.010.01
HYG-0.011.000.760.270.07-0.100.080.10
PHB-0.010.761.000.260.09-0.050.110.13
BWX0.030.270.261.000.390.330.430.44
TIP0.000.070.090.391.000.730.760.74
TLT0.02-0.10-0.050.330.731.000.860.83
BND0.010.080.110.430.760.861.000.92
AGG0.010.100.130.440.740.830.921.00
The correlation results are calculated based on daily price changes starting from Nov 16, 2007
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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