FUTBX vs. SGOV
Compare and contrast key facts about Fidelity SAI U.S. Treasury Bond Index Fund (FUTBX) and iShares 0-3 Month Treasury Bond ETF (SGOV).
FUTBX is managed by Fidelity. It was launched on Mar 1, 2016. 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: FUTBX or SGOV.
Key characteristics
| FUTBX | SGOV | |
|---|---|---|
| YTD Return | 0.86% | 4.71% |
| 1Y Return | 4.91% | 5.37% |
| 3Y Return (Ann) | -2.67% | 3.81% |
| Sharpe Ratio | 0.86 | 21.97 |
| Sortino Ratio | 1.29 | 530.73 |
| Omega Ratio | 1.15 | 531.73 |
| Calmar Ratio | 0.25 | 544.91 |
| Martin Ratio | 2.55 | 8,650.17 |
| Ulcer Index | 1.83% | 0.00% |
| Daily Std Dev | 5.41% | 0.25% |
| Max Drawdown | -21.39% | -0.03% |
| Current Drawdown | -14.86% | 0.00% |
Correlation
The correlation between FUTBX and SGOV is 0.04, 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.
Performance
FUTBX vs. SGOV - Performance Comparison
In the year-to-date period, FUTBX achieves a 0.86% return, which is significantly lower than SGOV's 4.71% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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FUTBX vs. SGOV - Expense Ratio Comparison
Both FUTBX and SGOV have an expense ratio of 0.03%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Risk-Adjusted Performance
FUTBX vs. SGOV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Fidelity SAI U.S. Treasury Bond Index Fund (FUTBX) 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
FUTBX vs. SGOV - Dividend Comparison
FUTBX's dividend yield for the trailing twelve months is around 2.59%, less than SGOV's 5.24% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|
FUTBX Fidelity SAI U.S. Treasury Bond Index Fund | 2.59% | 2.11% | 1.52% | 1.00% | 1.84% | 2.15% | 2.04% | 1.64% | 0.92% |
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% |
Drawdowns
FUTBX vs. SGOV - Drawdown Comparison
The maximum FUTBX drawdown since its inception was -21.39%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for FUTBX and SGOV. For additional features, visit the drawdowns tool.
Volatility
FUTBX vs. SGOV - Volatility Comparison
Fidelity SAI U.S. Treasury Bond Index Fund (FUTBX) has a higher volatility of 1.48% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.09%. This indicates that FUTBX'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.