FSCO vs. SGOV
FSCO (FS Credit Opportunities Corp.) 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 3 years, FSCO returned 10.95%/yr vs 4.66%/yr for SGOV. At a correlation of -0.02, they often move in opposite directions.
Performance
FSCO vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, FSCO achieves a -17.89% return, which is significantly lower than SGOV's 1.92% return.
FSCO
- 1D
- -1.02%
- 1M
- 1.64%
- 6M
- -18.92%
- YTD
- -17.89%
- 1Y
- -23.96%
- 3Y*
- 10.95%
- 5Y*
- —
- 10Y*
- —
SGOV
- 1D
- 0.02%
- 1M
- 0.30%
- 6M
- 1.80%
- YTD
- 1.92%
- 1Y
- 3.88%
- 3Y*
- 4.66%
- 5Y*
- 3.62%
- 10Y*
- —
FSCO vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
FSCO FS Credit Opportunities Corp. | -17.89% | 3.68% | 34.88% | 36.98% | -3.98% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.92% | 4.24% | 5.27% | 5.12% | 0.53% |
Correlation
The correlation between FSCO and SGOV is -0.08, 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 | -0.08 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.01 |
Correlation (All Time) Calculated using the full available price history since Nov 14, 2022 | -0.02 |
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Return for Risk
FSCO vs. SGOV — Risk / Return Rank
FSCO
SGOV
FSCO vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for FS Credit Opportunities Corp. (FSCO) 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.
| FSCO | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -21.71 | ||
| Sortino ratioReturn per unit of downside risk | -384.92 | ||
| Omega ratioGain probability vs. loss probability | 0.85 | 384.06 | -383.20 |
| Calmar ratioReturn relative to maximum drawdown | -0.68 | 391.99 | -392.66 |
| Martin ratioReturn relative to average drawdown | -1.25 | 6,210.22 | -6,211.47 |
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Drawdowns
FSCO vs. SGOV - Drawdown Comparison
The maximum FSCO drawdown since its inception was -35.53%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for FSCO and SGOV.
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Drawdown Indicators
| FSCO | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.53% | -0.03% | -35.50% |
Max Drawdown (1Y)Largest decline over 1 year | -35.53% | -0.01% | -35.52% |
Max Drawdown (3Y)Largest decline over 3 years | -35.53% | -0.01% | -35.52% |
Max Drawdown (5Y)Largest decline over 5 years | — | -0.03% | — |
Current DrawdownCurrent decline from peak | -28.31% | 0.00% | -28.31% |
Average DrawdownAverage peak-to-trough decline | -8.43% | -0.00% | -8.43% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 19.17% | 0.00% | +19.17% |
Volatility
FSCO vs. SGOV - Volatility Comparison
FS Credit Opportunities Corp. (FSCO) has a higher volatility of 5.20% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that FSCO'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
| FSCO | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.20% | 0.05% | +5.15% |
Volatility (6M)Calculated over the trailing 6-month period | 22.60% | 0.13% | +22.47% |
Volatility (1Y)Calculated over the trailing 1-year period | 27.62% | 0.19% | +27.43% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 28.03% | 0.24% | +27.79% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 28.03% | 0.24% | +27.79% |
Dividends
FSCO vs. SGOV - Dividend Comparison
FSCO's dividend yield for the trailing twelve months is around 16.06%, more than SGOV's 3.80% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
FSCO FS Credit Opportunities Corp. | 16.06% | 12.65% | 10.47% | 11.26% | 1.95% | 0.00% | 0.00% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.80% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% |
Frequently Asked Questions
FSCO and SGOV have a correlation of -0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FSCO has higher volatility (5.20%) compared to SGOV (0.05%). In terms of maximum drawdown, FSCO dropped -35.53% vs SGOV's -0.03%.
SGOV currently has the higher Sharpe Ratio (20.83 vs -0.87), 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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