FIJEX vs. SGOV
FIJEX (Frost Total Return Bond Fund) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both funds - FIJEX is a Short-Term Bond fund managed by Frost Funds, while SGOV is a Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. Over the past 5 years, FIJEX returned 3.16%/yr vs 3.63%/yr for SGOV. At a 0.00 correlation, their price movements are largely independent. FIJEX charges 0.46%/yr vs 0.09%/yr for SGOV.
Performance
FIJEX vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, FIJEX achieves a 1.10% return, which is significantly lower than SGOV's 1.98% return.
FIJEX
- 1D
- 0.00%
- 1M
- -0.07%
- 6M
- 0.78%
- YTD
- 1.10%
- 1Y
- 4.55%
- 3Y*
- 5.79%
- 5Y*
- 3.16%
- 10Y*
- 3.39%
SGOV
- 1D
- 0.03%
- 1M
- 0.32%
- 6M
- 1.79%
- YTD
- 1.98%
- 1Y
- 3.89%
- 3Y*
- 4.67%
- 5Y*
- 3.63%
- 10Y*
- —
FIJEX vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
FIJEX Frost Total Return Bond Fund | 1.10% | 4.83% | 6.44% | 8.64% | -5.30% | 3.45% | 7.92% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.98% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
Correlation
The correlation between FIJEX and SGOV is -0.11, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.11 |
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 | 0.00 |
The correlation between FIJEX and SGOV shifts across timeframes, from -0.11 (1 year) to 0.01 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
FIJEX vs. SGOV — Risk / Return Rank
FIJEX
SGOV
FIJEX vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Frost Total Return Bond Fund (FIJEX) 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.
| FIJEX | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -19.41 | ||
| Sortino ratioReturn per unit of downside risk | -382.65 | ||
| Omega ratioGain probability vs. loss probability | 1.27 | 385.05 | -383.79 |
| Calmar ratioReturn relative to maximum drawdown | 2.04 | 393.03 | -390.99 |
| Martin ratioReturn relative to average drawdown | 6.00 | 6,226.73 | -6,220.73 |
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Drawdowns
FIJEX vs. SGOV - Drawdown Comparison
The maximum FIJEX drawdown since its inception was -16.82%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for FIJEX and SGOV.
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Drawdown Indicators
| FIJEX | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -16.82% | -0.03% | -16.79% |
Max Drawdown (1Y)Largest decline over 1 year | -2.25% | -0.01% | -2.24% |
Max Drawdown (3Y)Largest decline over 3 years | -3.40% | -0.01% | -3.39% |
Max Drawdown (5Y)Largest decline over 5 years | -7.52% | -0.03% | -7.49% |
Max Drawdown (10Y)Largest decline over 10 years | -11.60% | — | — |
Current DrawdownCurrent decline from peak | -0.79% | 0.00% | -0.79% |
Average DrawdownAverage peak-to-trough decline | -2.85% | -0.00% | -2.85% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.76% | 0.00% | +0.76% |
Volatility
FIJEX vs. SGOV - Volatility Comparison
Frost Total Return Bond Fund (FIJEX) has a higher volatility of 0.97% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that FIJEX'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
| FIJEX | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.97% | 0.05% | +0.92% |
Volatility (6M)Calculated over the trailing 6-month period | 2.42% | 0.13% | +2.29% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.09% | 0.19% | +2.90% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.73% | 0.24% | +3.49% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.24% | 0.24% | +3.00% |
FIJEX vs. SGOV - Expense Ratio Comparison
FIJEX has a 0.46% expense ratio, which is higher than SGOV's 0.09% expense ratio.
Dividends
FIJEX vs. SGOV - Dividend Comparison
FIJEX's dividend yield for the trailing twelve months is around 5.81%, more than SGOV's 3.80% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FIJEX Frost Total Return Bond Fund | 5.81% | 4.64% | 5.23% | 5.53% | 4.69% | 3.31% | 3.82% | 3.79% | 3.63% | 3.68% | 4.03% | 4.14% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.80% | 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
FIJEX and SGOV have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FIJEX has higher volatility (0.97%) compared to SGOV (0.05%). In terms of maximum drawdown, FIJEX dropped -16.82% vs SGOV's -0.03%.
SGOV currently has the higher Sharpe Ratio (20.89 vs 1.48), 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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