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

Performance

TBIL vs. BND - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in US Treasury 3 Month Bill ETF (TBIL) and Vanguard Total Bond Market ETF (BND). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.52%
2.97%
TBIL
BND

Returns By Period

In the year-to-date period, TBIL achieves a 4.80% return, which is significantly higher than BND's 1.83% return.


TBIL

YTD

4.80%

1M

0.36%

6M

2.52%

1Y

5.45%

5Y (annualized)

N/A

10Y (annualized)

N/A

BND

YTD

1.83%

1M

-1.26%

6M

2.96%

1Y

6.48%

5Y (annualized)

-0.28%

10Y (annualized)

1.41%

Key characteristics


TBILBND
Sharpe Ratio14.461.17
Sortino Ratio75.481.71
Omega Ratio22.141.20
Calmar Ratio269.060.45
Martin Ratio1,229.883.85
Ulcer Index0.00%1.72%
Daily Std Dev0.38%5.66%
Max Drawdown-0.10%-18.84%
Current Drawdown0.00%-8.96%

Compare stocks, funds, or ETFs

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


TBIL vs. BND - Expense Ratio Comparison

TBIL has a 0.15% 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%.


TBIL
US Treasury 3 Month Bill ETF
Expense ratio chart for TBIL: 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%
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%

Correlation

-0.50.00.51.00.2

The correlation between TBIL and BND is 0.17, 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.

Risk-Adjusted Performance

TBIL vs. BND - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for US Treasury 3 Month Bill ETF (TBIL) 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.


Sharpe ratio
The chart of Sharpe ratio for TBIL, currently valued at 14.46, compared to the broader market0.002.004.006.0014.461.17
The chart of Sortino ratio for TBIL, currently valued at 75.48, compared to the broader market-2.000.002.004.006.008.0010.0012.0075.481.71
The chart of Omega ratio for TBIL, currently valued at 22.14, compared to the broader market0.501.001.502.002.503.0022.141.20
The chart of Calmar ratio for TBIL, currently valued at 269.06, compared to the broader market0.005.0010.0015.00269.061.60
The chart of Martin ratio for TBIL, currently valued at 1229.88, compared to the broader market0.0020.0040.0060.0080.00100.00120.001,229.883.85
TBIL
BND

The current TBIL Sharpe Ratio is 14.46, which is higher than the BND Sharpe Ratio of 1.17. The chart below compares the historical Sharpe Ratios of TBIL 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 Ratio0.005.0010.0015.00JuneJulyAugustSeptemberOctoberNovember
14.46
1.17
TBIL
BND

Dividends

TBIL vs. BND - Dividend Comparison

TBIL's dividend yield for the trailing twelve months is around 5.38%, more than BND's 3.57% yield.


TTM20232022202120202019201820172016201520142013
TBIL
US Treasury 3 Month Bill ETF
5.38%5.00%1.10%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BND
Vanguard Total Bond Market ETF
3.57%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%

Drawdowns

TBIL vs. BND - Drawdown Comparison

The maximum TBIL drawdown since its inception was -0.10%, smaller than the maximum BND drawdown of -18.84%. Use the drawdown chart below to compare losses from any high point for TBIL and BND. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-3.33%
TBIL
BND

Volatility

TBIL vs. BND - Volatility Comparison

The current volatility for US Treasury 3 Month Bill ETF (TBIL) is 0.10%, while Vanguard Total Bond Market ETF (BND) has a volatility of 1.53%. This indicates that TBIL 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.


0.00%0.50%1.00%1.50%JuneJulyAugustSeptemberOctoberNovember
0.10%
1.53%
TBIL
BND