FTSD vs. SGOV
Compare and contrast key facts about Franklin Liberty Short Duration U.S. Government ETF (FTSD) and iShares 0-3 Month Treasury Bond ETF (SGOV).
FTSD and SGOV are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FTSD is an actively managed fund by Franklin Templeton. It was launched on Nov 4, 2013. SGOV is a passively managed fund by iShares that tracks the performance of the ICE 0-3 Month US Treasury Bill Index. It was launched on May 26, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FTSD or SGOV.
Performance
FTSD vs. SGOV - Performance Comparison
Returns By Period
The year-to-date returns for both investments are quite close, with FTSD having a 4.55% return and SGOV slightly higher at 4.71%.
FTSD
4.55%
-0.04%
3.02%
5.91%
1.66%
1.57%
SGOV
4.71%
0.41%
2.60%
5.37%
N/A
N/A
Key characteristics
| FTSD | SGOV | |
|---|---|---|
| Sharpe Ratio | 4.60 | 21.97 |
| Sortino Ratio | 7.66 | 530.73 |
| Omega Ratio | 2.15 | 531.73 |
| Calmar Ratio | 7.06 | 544.91 |
| Martin Ratio | 39.63 | 8,650.17 |
| Ulcer Index | 0.15% | 0.00% |
| Daily Std Dev | 1.32% | 0.25% |
| Max Drawdown | -5.32% | -0.03% |
| Current Drawdown | -0.23% | 0.00% |
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FTSD vs. SGOV - Expense Ratio Comparison
FTSD has a 0.25% expense ratio, which is higher than SGOV's 0.03% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Correlation
The correlation between FTSD and SGOV is 0.12, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Risk-Adjusted Performance
FTSD vs. SGOV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Franklin Liberty Short Duration U.S. Government ETF (FTSD) 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.
Dividends
FTSD vs. SGOV - Dividend Comparison
FTSD's dividend yield for the trailing twelve months is around 4.79%, less than SGOV's 5.24% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FTSD Franklin Liberty Short Duration U.S. Government ETF | 4.79% | 4.14% | 1.73% | 1.01% | 1.54% | 2.90% | 2.63% | 2.24% | 1.92% | 1.52% | 1.91% | 0.27% |
SGOV iShares 0-3 Month Treasury Bond ETF | 5.24% | 4.87% | 1.45% | 0.03% | 0.04% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
FTSD vs. SGOV - Drawdown Comparison
The maximum FTSD drawdown since its inception was -5.32%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for FTSD and SGOV. For additional features, visit the drawdowns tool.
Volatility
FTSD vs. SGOV - Volatility Comparison
Franklin Liberty Short Duration U.S. Government ETF (FTSD) has a higher volatility of 0.29% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.09%. This indicates that FTSD'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.