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

Key characteristics


PBDIXVBMFX
YTD Return2.35%2.12%
1Y Return9.07%8.85%
3Y Return (Ann)-2.58%-2.52%
5Y Return (Ann)0.27%-0.12%
10Y Return (Ann)1.63%1.35%
Sharpe Ratio1.351.36
Sortino Ratio2.002.01
Omega Ratio1.241.25
Calmar Ratio0.490.49
Martin Ratio4.934.78
Ulcer Index1.65%1.66%
Daily Std Dev6.04%5.81%
Max Drawdown-19.26%-19.21%
Current Drawdown-8.88%-8.90%

Correlation

-0.50.00.51.00.9

The correlation between PBDIX and VBMFX is 0.95, 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.

Performance

PBDIX vs. VBMFX - Performance Comparison

In the year-to-date period, PBDIX achieves a 2.35% return, which is significantly higher than VBMFX's 2.12% return. Over the past 10 years, PBDIX has outperformed VBMFX with an annualized return of 1.63%, while VBMFX has yielded a comparatively lower 1.35% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.26%
4.18%
PBDIX
VBMFX

Compare stocks, funds, or ETFs

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


PBDIX vs. VBMFX - Expense Ratio Comparison

PBDIX has a 0.23% expense ratio, which is higher than VBMFX's 0.15% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


PBDIX
T. Rowe Price QM U.S. Bond Index Fund
Expense ratio chart for PBDIX: current value at 0.23% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.23%
Expense ratio chart for VBMFX: 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%

Risk-Adjusted Performance

PBDIX vs. VBMFX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price QM U.S. Bond Index Fund (PBDIX) and Vanguard Total Bond Market Index Fund (VBMFX). 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.


PBDIX
Sharpe ratio
The chart of Sharpe ratio for PBDIX, currently valued at 1.35, compared to the broader market0.002.004.001.35
Sortino ratio
The chart of Sortino ratio for PBDIX, currently valued at 2.00, compared to the broader market0.005.0010.002.00
Omega ratio
The chart of Omega ratio for PBDIX, currently valued at 1.24, compared to the broader market1.002.003.004.001.24
Calmar ratio
The chart of Calmar ratio for PBDIX, currently valued at 0.49, compared to the broader market0.005.0010.0015.0020.000.49
Martin ratio
The chart of Martin ratio for PBDIX, currently valued at 4.93, compared to the broader market0.0020.0040.0060.0080.00100.004.93
VBMFX
Sharpe ratio
The chart of Sharpe ratio for VBMFX, currently valued at 1.36, compared to the broader market0.002.004.001.36
Sortino ratio
The chart of Sortino ratio for VBMFX, currently valued at 2.01, compared to the broader market0.005.0010.002.01
Omega ratio
The chart of Omega ratio for VBMFX, currently valued at 1.25, compared to the broader market1.002.003.004.001.25
Calmar ratio
The chart of Calmar ratio for VBMFX, currently valued at 0.48, compared to the broader market0.005.0010.0015.0020.000.49
Martin ratio
The chart of Martin ratio for VBMFX, currently valued at 4.78, compared to the broader market0.0020.0040.0060.0080.00100.004.78

PBDIX vs. VBMFX - Sharpe Ratio Comparison

The current PBDIX Sharpe Ratio is 1.35, which is comparable to the VBMFX Sharpe Ratio of 1.36. The chart below compares the historical Sharpe Ratios of PBDIX and VBMFX, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.35
1.36
PBDIX
VBMFX

Dividends

PBDIX vs. VBMFX - Dividend Comparison

PBDIX's dividend yield for the trailing twelve months is around 3.97%, more than VBMFX's 3.45% yield.


TTM20232022202120202019201820172016201520142013
PBDIX
T. Rowe Price QM U.S. Bond Index Fund
3.97%3.49%2.74%1.85%4.85%2.92%2.94%2.75%2.78%2.90%2.86%3.05%
VBMFX
Vanguard Total Bond Market Index Fund
3.45%3.00%2.42%1.81%2.14%2.64%2.67%2.43%2.38%2.38%2.43%2.43%

Drawdowns

PBDIX vs. VBMFX - Drawdown Comparison

The maximum PBDIX drawdown since its inception was -19.26%, roughly equal to the maximum VBMFX drawdown of -19.21%. Use the drawdown chart below to compare losses from any high point for PBDIX and VBMFX. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%JuneJulyAugustSeptemberOctoberNovember
-8.88%
-8.90%
PBDIX
VBMFX

Volatility

PBDIX vs. VBMFX - Volatility Comparison

T. Rowe Price QM U.S. Bond Index Fund (PBDIX) and Vanguard Total Bond Market Index Fund (VBMFX) have volatilities of 1.59% and 1.66%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.20%1.40%1.60%1.80%2.00%JuneJulyAugustSeptemberOctoberNovember
1.59%
1.66%
PBDIX
VBMFX