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BIL vs. SGOV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BILSGOV
YTD Return1.29%1.31%
1Y Return5.21%5.35%
3Y Return (Ann)2.51%2.67%
Sharpe Ratio18.758.71
Daily Std Dev0.28%0.62%
Max Drawdown-0.77%-0.38%
Current Drawdown0.00%0.00%

Correlation

0.49
-1.001.00

The correlation between BIL and SGOV is 0.49, 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.

Performance

BIL vs. SGOV - Performance Comparison

The year-to-date returns for both investments are quite close, with BIL having a 1.29% return and SGOV slightly higher at 1.31%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


5.00%6.00%7.00%8.00%OctoberNovemberDecember2024FebruaryMarch
7.67%
8.28%
BIL
SGOV

Compare stocks, funds, or ETFs


SPDR Barclays 1-3 Month T-Bill ETF

iShares 0-3 Month Treasury Bond ETF

BIL vs. SGOV - Expense Ratio Comparison

BIL has a 0.14% expense ratio, which is higher than SGOV's 0.03% expense ratio.

BIL
SPDR Barclays 1-3 Month T-Bill ETF
0.50%1.00%1.50%2.00%0.14%
0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

BIL vs. SGOV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Barclays 1-3 Month T-Bill ETF (BIL) 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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
BIL
SPDR Barclays 1-3 Month T-Bill ETF
18.75
SGOV
iShares 0-3 Month Treasury Bond ETF
8.71

BIL vs. SGOV - Sharpe Ratio Comparison

The current BIL Sharpe Ratio is 18.75, which is higher than the SGOV Sharpe Ratio of 8.71. The chart below compares the 12-month rolling Sharpe Ratio of BIL and SGOV.


Rolling 12-month Sharpe Ratio8.0010.0012.0014.0016.0018.0020.0022.00OctoberNovemberDecember2024FebruaryMarch
18.75
8.71
BIL
SGOV

Dividends

BIL vs. SGOV - Dividend Comparison

BIL's dividend yield for the trailing twelve months is around 5.09%, which matches SGOV's 5.04% yield.


TTM20232022202120202019201820172016
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.09%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%
SGOV
iShares 0-3 Month Treasury Bond ETF
5.04%4.87%1.45%0.03%0.05%0.00%0.00%0.00%0.00%

Drawdowns

BIL vs. SGOV - Drawdown Comparison

The maximum BIL drawdown since its inception was -0.77%, which is greater than SGOV's maximum drawdown of -0.38%. The drawdown chart below compares losses from any high point along the way for BIL and SGOV


-0.40%-0.30%-0.20%-0.10%0.00%OctoberNovemberDecember2024FebruaryMarch00
BIL
SGOV

Volatility

BIL vs. SGOV - Volatility Comparison

The current volatility for SPDR Barclays 1-3 Month T-Bill ETF (BIL) is 0.08%, while iShares 0-3 Month Treasury Bond ETF (SGOV) has a volatility of 0.40%. This indicates that BIL experiences smaller price fluctuations and is considered to be less risky than SGOV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.10%0.20%0.30%0.40%0.50%0.60%OctoberNovemberDecember2024FebruaryMarch
0.08%
0.40%
BIL
SGOV