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

Correlation

The correlation between BSV and BIL is 0.08, 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.


-0.50.00.51.00.1

Performance

BSV vs. BIL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Short-Term Bond ETF (BSV) and SPDR Barclays 1-3 Month T-Bill ETF (BIL). The values are adjusted to include any dividend payments, if applicable.

0.00%1.00%2.00%3.00%4.00%JulyAugustSeptemberOctoberNovemberDecember
2.84%
2.48%
BSV
BIL

Key characteristics

Sharpe Ratio

BSV:

2.11

BIL:

20.46

Sortino Ratio

BSV:

3.24

BIL:

270.58

Omega Ratio

BSV:

1.41

BIL:

157.22

Calmar Ratio

BSV:

1.85

BIL:

478.80

Martin Ratio

BSV:

8.00

BIL:

4,406.68

Ulcer Index

BSV:

0.66%

BIL:

0.00%

Daily Std Dev

BSV:

2.48%

BIL:

0.26%

Max Drawdown

BSV:

-8.54%

BIL:

-0.77%

Current Drawdown

BSV:

-0.79%

BIL:

0.00%

Returns By Period

In the year-to-date period, BSV achieves a 3.85% return, which is significantly lower than BIL's 4.96% return. Both investments have delivered pretty close results over the past 10 years, with BSV having a 1.63% annualized return and BIL not far behind at 1.59%.


BSV

YTD

3.85%

1M

0.73%

6M

2.91%

1Y

4.55%

5Y (annualized)

1.32%

10Y (annualized)

1.63%

BIL

YTD

4.96%

1M

0.40%

6M

2.54%

1Y

5.25%

5Y (annualized)

2.32%

10Y (annualized)

1.59%

Compare stocks, funds, or ETFs

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


BSV vs. BIL - Expense Ratio Comparison

BSV has a 0.04% expense ratio, which is lower than BIL's 0.14% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


BIL
SPDR Barclays 1-3 Month T-Bill ETF
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 BSV: 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

BSV vs. BIL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Short-Term Bond ETF (BSV) and SPDR Barclays 1-3 Month T-Bill ETF (BIL). 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 BSV, currently valued at 2.11, compared to the broader market0.002.004.002.1120.46
The chart of Sortino ratio for BSV, currently valued at 3.24, compared to the broader market-2.000.002.004.006.008.0010.0012.003.24270.58
The chart of Omega ratio for BSV, currently valued at 1.41, compared to the broader market0.501.001.502.002.503.001.41157.22
The chart of Calmar ratio for BSV, currently valued at 1.85, compared to the broader market0.005.0010.0015.001.85478.80
The chart of Martin ratio for BSV, currently valued at 8.00, compared to the broader market0.0020.0040.0060.0080.00100.008.004,406.68
BSV
BIL

The current BSV Sharpe Ratio is 2.11, which is lower than the BIL Sharpe Ratio of 20.46. The chart below compares the historical Sharpe Ratios of BSV and BIL, 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 Ratio0.005.0010.0015.0020.00JulyAugustSeptemberOctoberNovemberDecember
2.11
20.46
BSV
BIL

Dividends

BSV vs. BIL - Dividend Comparison

BSV's dividend yield for the trailing twelve months is around 3.31%, less than BIL's 5.06% yield.


TTM20232022202120202019201820172016201520142013
BSV
Vanguard Short-Term Bond ETF
3.31%2.46%1.50%1.45%1.79%2.29%1.99%1.65%1.49%1.40%1.45%1.48%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.06%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%

Drawdowns

BSV vs. BIL - Drawdown Comparison

The maximum BSV drawdown since its inception was -8.54%, which is greater than BIL's maximum drawdown of -0.77%. Use the drawdown chart below to compare losses from any high point for BSV and BIL. For additional features, visit the drawdowns tool.


-1.50%-1.00%-0.50%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.79%
0
BSV
BIL

Volatility

BSV vs. BIL - Volatility Comparison

Vanguard Short-Term Bond ETF (BSV) has a higher volatility of 0.49% compared to SPDR Barclays 1-3 Month T-Bill ETF (BIL) at 0.05%. This indicates that BSV's price experiences larger fluctuations and is considered to be riskier than BIL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%0.20%0.40%0.60%0.80%1.00%JulyAugustSeptemberOctoberNovemberDecember
0.49%
0.05%
BSV
BIL
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