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VLGSX vs. VSBSX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VLGSX and VSBSX is 0.59, 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.


-0.50.00.51.00.6

Performance

VLGSX vs. VSBSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Long-Term Treasury Index Fund Admiral Shares (VLGSX) and Vanguard Short-Term Treasury Index Fund Admiral Shares (VSBSX). The values are adjusted to include any dividend payments, if applicable.

10.00%20.00%30.00%40.00%50.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
42.57%
18.02%
VLGSX
VSBSX

Key characteristics

Sharpe Ratio

VLGSX:

-0.49

VSBSX:

2.34

Sortino Ratio

VLGSX:

-0.60

VSBSX:

3.52

Omega Ratio

VLGSX:

0.93

VSBSX:

1.49

Calmar Ratio

VLGSX:

-0.15

VSBSX:

4.34

Martin Ratio

VLGSX:

-1.05

VSBSX:

10.04

Ulcer Index

VLGSX:

6.02%

VSBSX:

0.40%

Daily Std Dev

VLGSX:

12.90%

VSBSX:

1.72%

Max Drawdown

VLGSX:

-46.41%

VSBSX:

-5.77%

Current Drawdown

VLGSX:

-39.80%

VSBSX:

-0.49%

Returns By Period

In the year-to-date period, VLGSX achieves a -6.17% return, which is significantly lower than VSBSX's 3.78% return. Over the past 10 years, VLGSX has underperformed VSBSX with an annualized return of -0.55%, while VSBSX has yielded a comparatively higher 1.30% annualized return.


VLGSX

YTD

-6.17%

1M

-1.67%

6M

-3.28%

1Y

-5.49%

5Y*

-5.34%

10Y*

-0.55%

VSBSX

YTD

3.78%

1M

0.34%

6M

2.60%

1Y

3.89%

5Y*

1.30%

10Y*

1.30%

Compare stocks, funds, or ETFs

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VLGSX vs. VSBSX - Expense Ratio Comparison

Both VLGSX and VSBSX have an expense ratio of 0.07%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


VLGSX
Vanguard Long-Term Treasury Index Fund Admiral Shares
Expense ratio chart for VLGSX: 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 VSBSX: 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%

Risk-Adjusted Performance

VLGSX vs. VSBSX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Long-Term Treasury Index Fund Admiral Shares (VLGSX) and Vanguard Short-Term Treasury Index Fund Admiral Shares (VSBSX). 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 VLGSX, currently valued at -0.49, compared to the broader market-1.000.001.002.003.004.00-0.492.34
The chart of Sortino ratio for VLGSX, currently valued at -0.60, compared to the broader market-2.000.002.004.006.008.0010.00-0.603.52
The chart of Omega ratio for VLGSX, currently valued at 0.93, compared to the broader market0.501.001.502.002.503.003.500.931.49
The chart of Calmar ratio for VLGSX, currently valued at -0.15, compared to the broader market0.002.004.006.008.0010.0012.0014.00-0.154.34
The chart of Martin ratio for VLGSX, currently valued at -1.05, compared to the broader market0.0020.0040.0060.00-1.0510.04
VLGSX
VSBSX

The current VLGSX Sharpe Ratio is -0.49, which is lower than the VSBSX Sharpe Ratio of 2.34. The chart below compares the historical Sharpe Ratios of VLGSX and VSBSX, 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
-0.49
2.34
VLGSX
VSBSX

Dividends

VLGSX vs. VSBSX - Dividend Comparison

VLGSX's dividend yield for the trailing twelve months is around 3.51%, less than VSBSX's 3.81% yield.


TTM20232022202120202019201820172016201520142013
VLGSX
Vanguard Long-Term Treasury Index Fund Admiral Shares
3.51%3.30%2.81%1.79%1.83%2.44%2.73%2.55%2.68%2.80%2.77%3.20%
VSBSX
Vanguard Short-Term Treasury Index Fund Admiral Shares
3.81%3.29%1.12%0.33%1.11%2.27%1.80%1.09%0.81%0.67%0.40%0.27%

Drawdowns

VLGSX vs. VSBSX - Drawdown Comparison

The maximum VLGSX drawdown since its inception was -46.41%, which is greater than VSBSX's maximum drawdown of -5.77%. Use the drawdown chart below to compare losses from any high point for VLGSX and VSBSX. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-39.80%
-0.49%
VLGSX
VSBSX

Volatility

VLGSX vs. VSBSX - Volatility Comparison

Vanguard Long-Term Treasury Index Fund Admiral Shares (VLGSX) has a higher volatility of 3.80% compared to Vanguard Short-Term Treasury Index Fund Admiral Shares (VSBSX) at 0.40%. This indicates that VLGSX's price experiences larger fluctuations and is considered to be riskier than VSBSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
3.80%
0.40%
VLGSX
VSBSX
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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.

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