GBAB vs. SGOV
Compare and contrast key facts about Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust (GBAB) and iShares 0-3 Month Treasury Bond ETF (SGOV).
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: GBAB or SGOV.
Key characteristics
| GBAB | SGOV | |
|---|---|---|
| YTD Return | 6.45% | 4.65% |
| 1Y Return | 13.07% | 5.37% |
| 3Y Return (Ann) | -4.30% | 3.79% |
| Sharpe Ratio | 0.98 | 21.83 |
| Sortino Ratio | 1.54 | 525.73 |
| Omega Ratio | 1.17 | 526.73 |
| Calmar Ratio | 0.49 | 539.64 |
| Martin Ratio | 2.84 | 8,566.56 |
| Ulcer Index | 4.59% | 0.00% |
| Daily Std Dev | 13.32% | 0.25% |
| Max Drawdown | -35.81% | -0.03% |
| Current Drawdown | -17.33% | 0.00% |
Correlation
The correlation between GBAB and SGOV is 0.01, 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
GBAB vs. SGOV - Performance Comparison
In the year-to-date period, GBAB achieves a 6.45% return, which is significantly higher than SGOV's 4.65% 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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Risk-Adjusted Performance
GBAB vs. SGOV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust (GBAB) 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
GBAB vs. SGOV - Dividend Comparison
GBAB's dividend yield for the trailing twelve months is around 9.46%, more than SGOV's 5.24% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GBAB Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust | 9.46% | 9.34% | 9.24% | 6.37% | 5.93% | 6.39% | 6.89% | 6.65% | 7.51% | 7.77% | 7.47% | 8.31% |
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
GBAB vs. SGOV - Drawdown Comparison
The maximum GBAB drawdown since its inception was -35.81%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for GBAB and SGOV. For additional features, visit the drawdowns tool.
Volatility
GBAB vs. SGOV - Volatility Comparison
Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust (GBAB) has a higher volatility of 3.44% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.08%. This indicates that GBAB'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.