PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^FVX vs. VCSH
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^FVX and VCSH is -0.62. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0-0.6

Performance

^FVX vs. VCSH - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Treasury Yield 5 Years (^FVX) and Vanguard Short-Term Corporate Bond ETF (VCSH). The values are adjusted to include any dividend payments, if applicable.

40.00%50.00%60.00%70.00%80.00%90.00%100.00%JulyAugustSeptemberOctoberNovemberDecember
101.56%
48.85%
^FVX
VCSH

Key characteristics

Sharpe Ratio

^FVX:

0.57

VCSH:

2.24

Sortino Ratio

^FVX:

1.01

VCSH:

3.34

Omega Ratio

^FVX:

1.12

VCSH:

1.43

Calmar Ratio

^FVX:

0.24

VCSH:

3.71

Martin Ratio

^FVX:

1.08

VCSH:

11.00

Ulcer Index

^FVX:

12.87%

VCSH:

0.48%

Daily Std Dev

^FVX:

23.96%

VCSH:

2.34%

Max Drawdown

^FVX:

-97.53%

VCSH:

-12.86%

Current Drawdown

^FVX:

-44.53%

VCSH:

-0.91%

Returns By Period

In the year-to-date period, ^FVX achieves a 14.06% return, which is significantly higher than VCSH's 4.54% return. Over the past 10 years, ^FVX has outperformed VCSH with an annualized return of 10.23%, while VCSH has yielded a comparatively lower 2.33% annualized return.


^FVX

YTD

14.06%

1M

2.41%

6M

3.45%

1Y

11.37%

5Y*

20.39%

10Y*

10.23%

VCSH

YTD

4.54%

1M

0.07%

6M

2.93%

1Y

5.15%

5Y*

1.89%

10Y*

2.33%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

^FVX vs. VCSH - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 5 Years (^FVX) and Vanguard Short-Term Corporate Bond ETF (VCSH). 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 ^FVX, currently valued at 0.57, compared to the broader market-1.000.001.002.000.571.97
The chart of Sortino ratio for ^FVX, currently valued at 1.01, compared to the broader market-1.000.001.002.003.001.012.94
The chart of Omega ratio for ^FVX, currently valued at 1.12, compared to the broader market0.800.901.001.101.201.301.401.121.38
The chart of Calmar ratio for ^FVX, currently valued at 0.44, compared to the broader market0.001.002.003.004.000.443.50
The chart of Martin ratio for ^FVX, currently valued at 1.08, compared to the broader market0.005.0010.0015.001.089.62
^FVX
VCSH

The current ^FVX Sharpe Ratio is 0.57, which is lower than the VCSH Sharpe Ratio of 2.24. The chart below compares the historical Sharpe Ratios of ^FVX and VCSH, 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 Ratio-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.57
1.97
^FVX
VCSH

Drawdowns

^FVX vs. VCSH - Drawdown Comparison

The maximum ^FVX drawdown since its inception was -97.53%, which is greater than VCSH's maximum drawdown of -12.86%. Use the drawdown chart below to compare losses from any high point for ^FVX and VCSH. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-11.71%
-0.91%
^FVX
VCSH

Volatility

^FVX vs. VCSH - Volatility Comparison

Treasury Yield 5 Years (^FVX) has a higher volatility of 6.02% compared to Vanguard Short-Term Corporate Bond ETF (VCSH) at 0.68%. This indicates that ^FVX's price experiences larger fluctuations and is considered to be riskier than VCSH 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%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.02%
0.68%
^FVX
VCSH
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab