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VUSB vs. SPYG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VUSBSPYG
YTD Return4.91%35.25%
1Y Return6.61%46.54%
3Y Return (Ann)3.25%8.21%
Sharpe Ratio7.092.66
Sortino Ratio13.983.40
Omega Ratio3.151.48
Calmar Ratio32.422.75
Martin Ratio150.2114.14
Ulcer Index0.04%3.20%
Daily Std Dev0.93%17.04%
Max Drawdown-1.81%-67.79%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.1

The correlation between VUSB and SPYG is 0.11, 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.

Performance

VUSB vs. SPYG - Performance Comparison

In the year-to-date period, VUSB achieves a 4.91% return, which is significantly lower than SPYG's 35.25% 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%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
3.23%
19.68%
VUSB
SPYG

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VUSB vs. SPYG - Expense Ratio Comparison

VUSB has a 0.10% expense ratio, which is higher than SPYG's 0.04% 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%.


VUSB
Vanguard Ultra-Short Bond ETF
Expense ratio chart for VUSB: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
Expense ratio chart for SPYG: 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%

Risk-Adjusted Performance

VUSB vs. SPYG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Ultra-Short Bond ETF (VUSB) and SPDR Portfolio S&P 500 Growth ETF (SPYG). 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.


VUSB
Sharpe ratio
The chart of Sharpe ratio for VUSB, currently valued at 7.09, compared to the broader market-2.000.002.004.007.09
Sortino ratio
The chart of Sortino ratio for VUSB, currently valued at 13.97, compared to the broader market0.005.0010.0013.98
Omega ratio
The chart of Omega ratio for VUSB, currently valued at 3.15, compared to the broader market1.001.502.002.503.003.15
Calmar ratio
The chart of Calmar ratio for VUSB, currently valued at 32.42, compared to the broader market0.005.0010.0015.0032.42
Martin ratio
The chart of Martin ratio for VUSB, currently valued at 150.21, compared to the broader market0.0020.0040.0060.0080.00100.00150.21
SPYG
Sharpe ratio
The chart of Sharpe ratio for SPYG, currently valued at 2.66, compared to the broader market-2.000.002.004.002.66
Sortino ratio
The chart of Sortino ratio for SPYG, currently valued at 3.40, compared to the broader market0.005.0010.003.40
Omega ratio
The chart of Omega ratio for SPYG, currently valued at 1.48, compared to the broader market1.001.502.002.503.001.48
Calmar ratio
The chart of Calmar ratio for SPYG, currently valued at 2.75, compared to the broader market0.005.0010.0015.002.75
Martin ratio
The chart of Martin ratio for SPYG, currently valued at 14.14, compared to the broader market0.0020.0040.0060.0080.00100.0014.14

VUSB vs. SPYG - Sharpe Ratio Comparison

The current VUSB Sharpe Ratio is 7.09, which is higher than the SPYG Sharpe Ratio of 2.66. The chart below compares the historical Sharpe Ratios of VUSB and SPYG, 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 Ratio1.002.003.004.005.006.007.00JuneJulyAugustSeptemberOctoberNovember
7.09
2.66
VUSB
SPYG

Dividends

VUSB vs. SPYG - Dividend Comparison

VUSB's dividend yield for the trailing twelve months is around 5.16%, more than SPYG's 0.65% yield.


TTM20232022202120202019201820172016201520142013
VUSB
Vanguard Ultra-Short Bond ETF
5.16%4.45%1.53%0.25%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPYG
SPDR Portfolio S&P 500 Growth ETF
0.65%1.15%1.03%0.62%0.90%1.36%1.51%1.41%1.55%1.57%1.37%1.42%

Drawdowns

VUSB vs. SPYG - Drawdown Comparison

The maximum VUSB drawdown since its inception was -1.81%, smaller than the maximum SPYG drawdown of -67.79%. Use the drawdown chart below to compare losses from any high point for VUSB and SPYG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
VUSB
SPYG

Volatility

VUSB vs. SPYG - Volatility Comparison

The current volatility for Vanguard Ultra-Short Bond ETF (VUSB) is 0.18%, while SPDR Portfolio S&P 500 Growth ETF (SPYG) has a volatility of 5.22%. This indicates that VUSB experiences smaller price fluctuations and is considered to be less risky than SPYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
0.18%
5.22%
VUSB
SPYG