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SPSB vs. BND
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SPSB and BND is 0.47, 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.


-0.50.00.51.00.5

Performance

SPSB vs. BND - Performance Comparison

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

-1.00%0.00%1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.29%
1.59%
SPSB
BND

Key characteristics

Sharpe Ratio

SPSB:

3.16

BND:

0.29

Sortino Ratio

SPSB:

5.00

BND:

0.43

Omega Ratio

SPSB:

1.67

BND:

1.05

Calmar Ratio

SPSB:

8.36

BND:

0.12

Martin Ratio

SPSB:

21.42

BND:

0.81

Ulcer Index

SPSB:

0.25%

BND:

1.94%

Daily Std Dev

SPSB:

1.67%

BND:

5.44%

Max Drawdown

SPSB:

-11.75%

BND:

-18.84%

Current Drawdown

SPSB:

-0.27%

BND:

-9.43%

Returns By Period

In the year-to-date period, SPSB achieves a 5.01% return, which is significantly higher than BND's 1.30% return. Over the past 10 years, SPSB has outperformed BND with an annualized return of 2.20%, while BND has yielded a comparatively lower 1.33% annualized return.


SPSB

YTD

5.01%

1M

0.40%

6M

3.21%

1Y

5.22%

5Y*

2.18%

10Y*

2.20%

BND

YTD

1.30%

1M

-0.40%

6M

1.12%

1Y

1.56%

5Y*

-0.41%

10Y*

1.33%

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SPSB vs. BND - Expense Ratio Comparison

SPSB has a 0.07% expense ratio, which is higher than BND's 0.03% 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%.


Expense ratio chart for SPSB: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
Expense ratio chart for BND: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

SPSB vs. BND - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio Short Term Corporate Bond ETF (SPSB) and Vanguard Total Bond Market ETF (BND). 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.


The chart of Sharpe ratio for SPSB, currently valued at 3.14, compared to the broader market0.002.004.003.140.29
The chart of Sortino ratio for SPSB, currently valued at 4.97, compared to the broader market-2.000.002.004.006.008.0010.004.970.43
The chart of Omega ratio for SPSB, currently valued at 1.67, compared to the broader market0.501.001.502.002.503.001.671.05
The chart of Calmar ratio for SPSB, currently valued at 8.30, compared to the broader market0.005.0010.0015.008.300.12
The chart of Martin ratio for SPSB, currently valued at 21.23, compared to the broader market0.0020.0040.0060.0080.00100.0021.230.81
SPSB
BND

The current SPSB Sharpe Ratio is 3.16, which is higher than the BND Sharpe Ratio of 0.29. The chart below compares the historical Sharpe Ratios of SPSB and BND, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
3.14
0.29
SPSB
BND

Dividends

SPSB vs. BND - Dividend Comparison

SPSB's dividend yield for the trailing twelve months is around 4.86%, more than BND's 3.67% yield.


TTM20232022202120202019201820172016201520142013
SPSB
SPDR Portfolio Short Term Corporate Bond ETF
4.86%4.05%1.92%1.20%1.94%2.77%2.36%1.94%1.65%1.44%1.26%1.41%
BND
Vanguard Total Bond Market ETF
3.67%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%

Drawdowns

SPSB vs. BND - Drawdown Comparison

The maximum SPSB drawdown since its inception was -11.75%, smaller than the maximum BND drawdown of -18.84%. Use the drawdown chart below to compare losses from any high point for SPSB and BND. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.27%
-9.43%
SPSB
BND

Volatility

SPSB vs. BND - Volatility Comparison

The current volatility for SPDR Portfolio Short Term Corporate Bond ETF (SPSB) is 0.41%, while Vanguard Total Bond Market ETF (BND) has a volatility of 1.69%. This indicates that SPSB experiences smaller price fluctuations and is considered to be less risky than BND based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JulyAugustSeptemberOctoberNovemberDecember
0.41%
1.69%
SPSB
BND