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BIL vs. SWVXX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between BIL and SWVXX is 0.04, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.0

Performance

BIL vs. SWVXX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Barclays 1-3 Month T-Bill ETF (BIL) and Schwab Value Advantage Money Fund (SWVXX). The values are adjusted to include any dividend payments, if applicable.

0.00%0.50%1.00%1.50%2.00%2.50%JulyAugustSeptemberOctoberNovemberDecember
2.51%
2.28%
BIL
SWVXX

Key characteristics

Sharpe Ratio

BIL:

20.41

SWVXX:

3.48

Ulcer Index

BIL:

0.00%

SWVXX:

0.00%

Daily Std Dev

BIL:

0.26%

SWVXX:

1.43%

Max Drawdown

BIL:

-0.77%

SWVXX:

0.00%

Current Drawdown

BIL:

0.00%

SWVXX:

0.00%

Returns By Period

In the year-to-date period, BIL achieves a 5.08% return, which is significantly higher than SWVXX's 4.30% return. Both investments have delivered pretty close results over the past 10 years, with BIL having a 1.61% annualized return and SWVXX not far behind at 1.55%.


BIL

YTD

5.08%

1M

0.40%

6M

2.51%

1Y

5.18%

5Y*

2.33%

10Y*

1.61%

SWVXX

YTD

4.30%

1M

0.38%

6M

2.28%

1Y

5.01%

5Y*

2.30%

10Y*

1.55%

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Risk-Adjusted Performance

BIL vs. SWVXX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Barclays 1-3 Month T-Bill ETF (BIL) and Schwab Value Advantage Money Fund (SWVXX). 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 BIL, currently valued at 20.16, compared to the broader market0.002.004.0020.163.48
The chart of Sortino ratio for BIL, currently valued at 265.58, compared to the broader market-2.000.002.004.006.008.0010.00265.58
The chart of Omega ratio for BIL, currently valued at 154.33, compared to the broader market0.501.001.502.002.503.00154.33
The chart of Calmar ratio for BIL, currently valued at 470.96, compared to the broader market0.005.0010.0015.00470.96
The chart of Martin ratio for BIL, currently valued at 4322.82, compared to the broader market0.0020.0040.0060.0080.00100.004,322.83
BIL
SWVXX

The current BIL Sharpe Ratio is 20.41, which is higher than the SWVXX Sharpe Ratio of 3.48. The chart below compares the historical Sharpe Ratios of BIL and SWVXX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio5.0010.0015.0020.00JulyAugustSeptemberOctoberNovemberDecember
20.16
3.48
BIL
SWVXX

Drawdowns

BIL vs. SWVXX - Drawdown Comparison

The maximum BIL drawdown since its inception was -0.77%, which is greater than SWVXX's maximum drawdown of 0.00%. Use the drawdown chart below to compare losses from any high point for BIL and SWVXX. For additional features, visit the drawdowns tool.


-0.01%-0.01%-0.01%-0.00%-0.00%0.00%JulyAugustSeptemberOctoberNovemberDecember00
BIL
SWVXX

Volatility

BIL vs. SWVXX - Volatility Comparison

The current volatility for SPDR Barclays 1-3 Month T-Bill ETF (BIL) is 0.06%, while Schwab Value Advantage Money Fund (SWVXX) has a volatility of 0.38%. This indicates that BIL experiences smaller price fluctuations and is considered to be less risky than SWVXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%0.10%0.20%0.30%0.40%0.50%0.60%JulyAugustSeptemberOctoberNovemberDecember
0.06%
0.38%
BIL
SWVXX
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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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