PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
BLV vs. VGLT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between BLV and VGLT is 0.93, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.9

Performance

BLV vs. VGLT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Long-Term Bond ETF (BLV) and Vanguard Long-Term Treasury ETF (VGLT). The values are adjusted to include any dividend payments, if applicable.

40.00%50.00%60.00%70.00%80.00%90.00%JulyAugustSeptemberOctoberNovemberDecember
72.68%
44.00%
BLV
VGLT

Key characteristics

Sharpe Ratio

BLV:

-0.31

VGLT:

-0.47

Sortino Ratio

BLV:

-0.35

VGLT:

-0.56

Omega Ratio

BLV:

0.96

VGLT:

0.94

Calmar Ratio

BLV:

-0.11

VGLT:

-0.14

Martin Ratio

BLV:

-0.73

VGLT:

-1.01

Ulcer Index

BLV:

4.86%

VGLT:

6.00%

Daily Std Dev

BLV:

11.44%

VGLT:

12.95%

Max Drawdown

BLV:

-38.29%

VGLT:

-46.18%

Current Drawdown

BLV:

-28.75%

VGLT:

-39.34%

Returns By Period

In the year-to-date period, BLV achieves a -3.41% return, which is significantly higher than VGLT's -5.58% return. Over the past 10 years, BLV has outperformed VGLT with an annualized return of 1.16%, while VGLT has yielded a comparatively lower -0.43% annualized return.


BLV

YTD

-3.41%

1M

-1.30%

6M

-1.36%

1Y

-3.25%

5Y*

-3.21%

10Y*

1.16%

VGLT

YTD

-5.58%

1M

-1.32%

6M

-2.94%

1Y

-5.21%

5Y*

-5.19%

10Y*

-0.43%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


BLV vs. VGLT - Expense Ratio Comparison

Both BLV and VGLT have an expense ratio of 0.04%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


BLV
Vanguard Long-Term Bond ETF
Expense ratio chart for BLV: 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%
Expense ratio chart for VGLT: 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

BLV vs. VGLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Long-Term Bond ETF (BLV) and Vanguard Long-Term Treasury ETF (VGLT). 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 BLV, currently valued at -0.31, compared to the broader market0.002.004.00-0.31-0.47
The chart of Sortino ratio for BLV, currently valued at -0.35, compared to the broader market-2.000.002.004.006.008.0010.00-0.35-0.56
The chart of Omega ratio for BLV, currently valued at 0.96, compared to the broader market0.501.001.502.002.503.000.960.94
The chart of Calmar ratio for BLV, currently valued at -0.11, compared to the broader market0.005.0010.0015.00-0.11-0.14
The chart of Martin ratio for BLV, currently valued at -0.73, compared to the broader market0.0020.0040.0060.0080.00100.00-0.73-1.01
BLV
VGLT

The current BLV Sharpe Ratio is -0.31, which is higher than the VGLT Sharpe Ratio of -0.47. The chart below compares the historical Sharpe Ratios of BLV and VGLT, 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 Ratio-0.500.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
-0.31
-0.47
BLV
VGLT

Dividends

BLV vs. VGLT - Dividend Comparison

BLV's dividend yield for the trailing twelve months is around 4.61%, more than VGLT's 3.91% yield.


TTM20232022202120202019201820172016201520142013
BLV
Vanguard Long-Term Bond ETF
4.24%4.06%4.17%3.37%5.84%3.57%4.07%3.63%4.16%4.37%3.90%4.85%
VGLT
Vanguard Long-Term Treasury ETF
3.91%3.33%2.83%1.82%2.15%2.46%2.71%2.55%2.69%3.21%2.75%3.19%

Drawdowns

BLV vs. VGLT - Drawdown Comparison

The maximum BLV drawdown since its inception was -38.29%, smaller than the maximum VGLT drawdown of -46.18%. Use the drawdown chart below to compare losses from any high point for BLV and VGLT. For additional features, visit the drawdowns tool.


-40.00%-35.00%-30.00%-25.00%-20.00%JulyAugustSeptemberOctoberNovemberDecember
-28.75%
-39.34%
BLV
VGLT

Volatility

BLV vs. VGLT - Volatility Comparison

The current volatility for Vanguard Long-Term Bond ETF (BLV) is 3.58%, while Vanguard Long-Term Treasury ETF (VGLT) has a volatility of 3.91%. This indicates that BLV experiences smaller price fluctuations and is considered to be less risky than VGLT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%JulyAugustSeptemberOctoberNovemberDecember
3.58%
3.91%
BLV
VGLT
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab