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BSV vs. SPTS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

BSV vs. SPTS - Performance Comparison

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

0.00%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
3.07%
2.89%
BSV
SPTS

Returns By Period

The year-to-date returns for both investments are quite close, with BSV having a 3.34% return and SPTS slightly higher at 3.49%. Over the past 10 years, BSV has outperformed SPTS with an annualized return of 1.57%, while SPTS has yielded a comparatively lower 1.30% annualized return.


BSV

YTD

3.34%

1M

-0.51%

6M

3.08%

1Y

5.65%

5Y (annualized)

1.24%

10Y (annualized)

1.57%

SPTS

YTD

3.49%

1M

-0.23%

6M

2.89%

1Y

5.15%

5Y (annualized)

1.27%

10Y (annualized)

1.30%

Key characteristics


BSVSPTS
Sharpe Ratio2.232.68
Sortino Ratio3.424.26
Omega Ratio1.431.55
Calmar Ratio1.362.42
Martin Ratio9.2914.40
Ulcer Index0.61%0.36%
Daily Std Dev2.54%1.91%
Max Drawdown-8.54%-5.83%
Current Drawdown-1.28%-0.75%

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BSV vs. SPTS - Expense Ratio Comparison

BSV has a 0.04% expense ratio, which is lower than SPTS's 0.06% 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%.


SPTS
SPDR Portfolio Short Term Treasury ETF
Expense ratio chart for SPTS: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
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%

Correlation

-0.50.00.51.00.7

The correlation between BSV and SPTS is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

BSV vs. SPTS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Short-Term Bond ETF (BSV) and SPDR Portfolio Short Term Treasury ETF (SPTS). 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 2.23, compared to the broader market0.002.004.006.002.232.68
The chart of Sortino ratio for BSV, currently valued at 3.42, compared to the broader market-2.000.002.004.006.008.0010.0012.003.424.26
The chart of Omega ratio for BSV, currently valued at 1.43, compared to the broader market0.501.001.502.002.503.001.431.55
The chart of Calmar ratio for BSV, currently valued at 1.36, compared to the broader market0.005.0010.0015.001.362.42
The chart of Martin ratio for BSV, currently valued at 9.29, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.2914.40
BSV
SPTS

The current BSV Sharpe Ratio is 2.23, which is comparable to the SPTS Sharpe Ratio of 2.68. The chart below compares the historical Sharpe Ratios of BSV and SPTS, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.23
2.68
BSV
SPTS

Dividends

BSV vs. SPTS - Dividend Comparison

BSV's dividend yield for the trailing twelve months is around 3.26%, less than SPTS's 4.22% yield.


TTM20232022202120202019201820172016201520142013
BSV
Vanguard Short-Term Bond ETF
3.26%2.46%1.50%1.45%1.79%2.29%1.99%1.65%1.49%1.40%1.45%1.48%
SPTS
SPDR Portfolio Short Term Treasury ETF
4.22%3.61%1.26%0.20%0.71%2.21%2.04%1.20%0.95%0.83%0.68%0.43%

Drawdowns

BSV vs. SPTS - Drawdown Comparison

The maximum BSV drawdown since its inception was -8.54%, which is greater than SPTS's maximum drawdown of -5.83%. Use the drawdown chart below to compare losses from any high point for BSV and SPTS. For additional features, visit the drawdowns tool.


-2.00%-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.28%
-0.75%
BSV
SPTS

Volatility

BSV vs. SPTS - Volatility Comparison

Vanguard Short-Term Bond ETF (BSV) has a higher volatility of 0.55% compared to SPDR Portfolio Short Term Treasury ETF (SPTS) at 0.38%. This indicates that BSV's price experiences larger fluctuations and is considered to be riskier than SPTS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.30%0.40%0.50%0.60%0.70%0.80%0.90%JuneJulyAugustSeptemberOctoberNovember
0.55%
0.38%
BSV
SPTS