BAESY vs. SGOV

Last updated Jun 5, 2026

BAESY (BAE Systems PLC) is a stock, while SGOV (iShares 0-3 Month Treasury Bond ETF) is Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. Over the past 5 years, BAESY returned 31.26%/yr vs 3.54%/yr for SGOV. At a correlation of -0.03, they often move in opposite directions.

Performance

BAESY vs. SGOV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in BAE Systems PLC (BAESY) and iShares 0-3 Month Treasury Bond ETF (SGOV). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, BAESY achieves a 12.70% return, which is significantly higher than SGOV's 1.52% return.

BAESY

• 1D: 1.50%
• 1M: -8.19%
• YTD: 12.70%
• 6M: 16.09%
• 1Y: -2.55%
• 3Y*: 32.59%
• 5Y*: 31.26%
• 10Y*: 18.20%

SGOV

• 1D: 0.01%
• 1M: 0.29%
• YTD: 1.52%
• 6M: 1.79%
• 1Y: 3.95%
• 3Y*: 4.72%
• 5Y*: 3.54%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

BAESY vs. SGOV - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
BAESY BAE Systems PLC	12.70%	65.51%	1.23%	40.91%	46.40%	14.56%	13.41%
SGOV iShares 0-3 Month Treasury Bond ETF	1.52%	4.24%	5.27%	5.12%	1.58%	0.04%	0.05%

Correlation

The correlation between BAESY and SGOV is -0.06, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.06
Correlation (3Y) Calculated over the trailing 3-year period	-0.09
Correlation (5Y) Calculated over the trailing 5-year period	-0.03
Correlation (All Time) Calculated using the full available price history since May 29, 2020	-0.03

Return for Risk

BAESY vs. SGOV — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

BAESY

BAESY Risk / Return Rank: 36
BAESY Sharpe Ratio Rank: 38
BAESY Sortino Ratio Rank: 33
BAESY Omega Ratio Rank: 33
BAESY Calmar Ratio Rank: 38
BAESY Martin Ratio Rank: 37

SGOV

SGOV Risk / Return Rank: 100
SGOV Sharpe Ratio Rank: 100
SGOV Sortino Ratio Rank: 100
SGOV Omega Ratio Rank: 100
SGOV Calmar Ratio Rank: 100
SGOV Martin Ratio Rank: 100

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

BAESY vs. SGOV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BAE Systems PLC (BAESY) and iShares 0-3 Month Treasury Bond ETF (SGOV). 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.

	BAESY	SGOV	Difference
Sharpe ratio: Return per unit of total volatility	-0.08	20.28	-20.36
Sortino ratio: Return per unit of downside risk	0.11	275.69	-275.57
Omega ratio: Gain probability vs. loss probability	1.01	195.55	-194.54
Calmar ratio: Return relative to maximum drawdown	-0.11	398.20	-398.31
Martin ratio: Return relative to average drawdown	-0.25	4,462.00	-4,462.24
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

BAESY vs. SGOV - Sharpe Ratio Comparison

The current BAESY Sharpe Ratio is -0.08, which is lower than the SGOV Sharpe Ratio of 20.28. The chart below compares the historical Sharpe Ratios of BAESY and SGOV, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	BAESY	SGOV	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.08	20.28	-20.36
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.12	14.74	-13.62
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.65	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.35	12.49	-12.14

Drawdowns

BAESY vs. SGOV - Drawdown Comparison

The maximum BAESY drawdown since its inception was -59.20%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for BAESY and SGOV.

Drawdown Indicators

	BAESY	SGOV	Difference
Max Drawdown Largest peak-to-trough decline	-59.20%	-0.03%	-59.17%
Max Drawdown (1Y) Largest decline over 1 year	-23.59%	-0.01%	-23.58%
Max Drawdown (3Y) Largest decline over 3 years	-23.59%	-0.01%	-23.58%
Max Drawdown (5Y) Largest decline over 5 years	-23.59%	-0.03%	-23.56%
Max Drawdown (10Y) Largest decline over 10 years	-42.13%	—	—
Current Drawdown Current decline from peak	-15.84%	0.00%	-15.84%
Average Drawdown Average peak-to-trough decline	-19.33%	-0.00%	-19.33%
Ulcer Index Depth and duration of drawdowns from previous peaks	10.40%	0.00%	+10.40%

Volatility

BAESY vs. SGOV - Volatility Comparison

BAE Systems PLC (BAESY) has a higher volatility of 10.85% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that BAESY's price experiences larger fluctuations and is considered to be riskier than SGOV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	BAESY	SGOV	Difference
Volatility (1M) Calculated over the trailing 1-month period	10.85%	0.05%	+10.80%
Volatility (6M) Calculated over the trailing 6-month period	25.03%	0.13%	+24.90%
Volatility (1Y) Calculated over the trailing 1-year period	32.03%	0.20%	+31.83%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	28.05%	0.24%	+27.81%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	27.88%	0.24%	+27.64%

Dividends

BAESY vs. SGOV - Dividend Comparison

BAESY's dividend yield for the trailing twelve months is around 1.87%, less than SGOV's 3.86% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
BAESY BAE Systems PLC	1.87%	1.90%	2.79%	2.40%	3.09%	4.46%	7.05%	3.66%	4.93%	5.71%	6.26%	4.38%
SGOV iShares 0-3 Month Treasury Bond ETF	3.86%	4.10%	5.10%	4.87%	1.45%	0.03%	0.05%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both BAESY and SGOV in my portfolio?

BAESY and SGOV have a correlation of -0.06, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, BAESY or SGOV?

BAESY has higher volatility (10.85%) compared to SGOV (0.05%). In terms of maximum drawdown, BAESY dropped -59.20% vs SGOV's -0.03%.

Which has better risk-adjusted returns?

SGOV currently has the higher Sharpe Ratio (20.28 vs -0.08), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.