FDLO vs. SGOV
FDLO (Fidelity Low Volatility Factor ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - FDLO is a Volatility Hedged Equity fund tracking the Fidelity U.S. Low Volatility Factor Index, while SGOV is a Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. Both are passively managed. Over the past 5 years, FDLO returned 9.34%/yr vs 3.58%/yr for SGOV. At a correlation of -0.02, they often move in opposite directions. FDLO charges 0.29%/yr vs 0.09%/yr for SGOV.
Performance
FDLO vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, FDLO achieves a 2.30% return, which is significantly higher than SGOV's 1.70% return.
FDLO
- 1D
- -0.75%
- 1M
- -3.23%
- YTD
- 2.30%
- 6M
- 2.04%
- 1Y
- 12.80%
- 3Y*
- 12.90%
- 5Y*
- 9.34%
- 10Y*
- —
SGOV
- 1D
- 0.01%
- 1M
- 0.27%
- YTD
- 1.70%
- 6M
- 1.80%
- 1Y
- 3.93%
- 3Y*
- 4.68%
- 5Y*
- 3.58%
- 10Y*
- —
FDLO vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
FDLO Fidelity Low Volatility Factor ETF | 2.30% | 11.77% | 16.06% | 16.38% | -10.38% | 24.00% | 19.12% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.70% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
Correlation
The correlation between FDLO and SGOV is -0.10, 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 | -0.10 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.01 |
Correlation (All Time) Calculated using the full available price history since May 28, 2020 | -0.02 |
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Return for Risk
FDLO vs. SGOV — Risk / Return Rank
FDLO
SGOV
FDLO vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Fidelity Low Volatility Factor ETF (FDLO) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| FDLO | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -18.93 | ||
| Sortino ratioReturn per unit of downside risk | -272.21 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 194.55 | -193.30 |
| Calmar ratioReturn relative to maximum drawdown | 1.80 | 396.11 | -394.31 |
| Martin ratioReturn relative to average drawdown | 7.61 | 4,438.60 | -4,430.99 |
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Drawdowns
FDLO vs. SGOV - Drawdown Comparison
The maximum FDLO drawdown since its inception was -34.35%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for FDLO and SGOV.
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Drawdown Indicators
| FDLO | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.35% | -0.03% | -34.32% |
Max Drawdown (1Y)Largest decline over 1 year | -7.13% | -0.01% | -7.12% |
Max Drawdown (3Y)Largest decline over 3 years | -13.68% | -0.01% | -13.67% |
Max Drawdown (5Y)Largest decline over 5 years | -19.23% | -0.03% | -19.20% |
Current DrawdownCurrent decline from peak | -3.46% | 0.00% | -3.46% |
Average DrawdownAverage peak-to-trough decline | -3.37% | -0.00% | -3.37% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.69% | 0.00% | +1.69% |
Volatility
FDLO vs. SGOV - Volatility Comparison
Fidelity Low Volatility Factor ETF (FDLO) has a higher volatility of 2.54% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.06%. This indicates that FDLO'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.
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Volatility by Period
| FDLO | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.54% | 0.06% | +2.48% |
Volatility (6M)Calculated over the trailing 6-month period | 6.64% | 0.13% | +6.51% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.89% | 0.19% | +8.70% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.08% | 0.24% | +12.84% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.48% | 0.24% | +15.24% |
FDLO vs. SGOV - Expense Ratio Comparison
FDLO has a 0.29% expense ratio, which is higher than SGOV's 0.09% expense ratio.
Dividends
FDLO vs. SGOV - Dividend Comparison
FDLO's dividend yield for the trailing twelve months is around 1.45%, less than SGOV's 3.85% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
FDLO Fidelity Low Volatility Factor ETF | 1.45% | 1.37% | 1.40% | 1.35% | 1.49% | 1.11% | 1.38% | 1.55% | 1.76% | 1.61% | 0.55% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.85% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
FDLO and SGOV have a correlation of -0.10, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FDLO has higher volatility (2.54%) compared to SGOV (0.06%). In terms of maximum drawdown, FDLO dropped -34.35% vs SGOV's -0.03%.
On 5-year performance, FDLO leads with 9.34% vs 3.58% for SGOV. On fees, SGOV is cheaper at 0.09% per year. On volatility, SGOV has been the lower-risk option at 0.06%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, FDLO has performed better with a 9.34% return vs 3.58%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SGOV is cheaper with a 0.09% expense ratio, compared with 0.29% for FDLO.
SGOV has the higher dividend yield at 3.85%, compared with 1.45% for FDLO.
FDLO is categorized as Volatility Hedged Equity, while SGOV is Ultrashort Bond. FDLO tracks Fidelity U.S. Low Volatility Factor Index, while SGOV tracks ICE 0-3 Month US Treasury Securities Index. They also come from different issuers: Fidelity and iShares. Their fees differ too: 0.29% for FDLO and 0.09% for SGOV.
SGOV currently has the higher Sharpe Ratio (20.38 vs 1.45), 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.
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