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GBIL vs. SGOV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between GBIL and SGOV is 0.47, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

GBIL vs. SGOV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Goldman Sachs Access Treasury 0-1 Year ETF (GBIL) and iShares 0-3 Month Treasury Bond ETF (SGOV). The values are adjusted to include any dividend payments, if applicable.

8.00%9.00%10.00%11.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
11.24%
12.35%
GBIL
SGOV

Key characteristics

Sharpe Ratio

GBIL:

4.69

SGOV:

21.76

Sortino Ratio

GBIL:

6.72

SGOV:

517.08

Omega Ratio

GBIL:

6.61

SGOV:

518.08

Calmar Ratio

GBIL:

6.90

SGOV:

530.63

Martin Ratio

GBIL:

29.34

SGOV:

8,423.56

Ulcer Index

GBIL:

0.18%

SGOV:

0.00%

Daily Std Dev

GBIL:

1.11%

SGOV:

0.24%

Max Drawdown

GBIL:

-0.76%

SGOV:

-0.03%

Current Drawdown

GBIL:

0.00%

SGOV:

0.00%

Returns By Period

The year-to-date returns for both investments are quite close, with GBIL having a 4.99% return and SGOV slightly higher at 5.11%.


GBIL

YTD

4.99%

1M

0.41%

6M

2.62%

1Y

5.20%

5Y*

2.32%

10Y*

N/A

SGOV

YTD

5.11%

1M

0.38%

6M

2.54%

1Y

5.29%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

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GBIL vs. SGOV - Expense Ratio Comparison

GBIL has a 0.12% 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%.


GBIL
Goldman Sachs Access Treasury 0-1 Year ETF
Expense ratio chart for GBIL: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for SGOV: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

GBIL vs. SGOV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs Access Treasury 0-1 Year ETF (GBIL) 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.


Sharpe ratio
The chart of Sharpe ratio for GBIL, currently valued at 4.69, compared to the broader market0.002.004.004.6921.76
The chart of Sortino ratio for GBIL, currently valued at 6.72, compared to the broader market-2.000.002.004.006.008.0010.006.72517.08
The chart of Omega ratio for GBIL, currently valued at 6.61, compared to the broader market0.501.001.502.002.503.006.61518.08
The chart of Calmar ratio for GBIL, currently valued at 6.90, compared to the broader market0.005.0010.0015.006.90530.63
The chart of Martin ratio for GBIL, currently valued at 29.34, compared to the broader market0.0020.0040.0060.0080.00100.0029.348,423.56
GBIL
SGOV

The current GBIL Sharpe Ratio is 4.69, which is lower than the SGOV Sharpe Ratio of 21.76. The chart below compares the historical Sharpe Ratios of GBIL and SGOV, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio5.0010.0015.0020.00JulyAugustSeptemberOctoberNovemberDecember
4.69
21.76
GBIL
SGOV

Dividends

GBIL vs. SGOV - Dividend Comparison

GBIL's dividend yield for the trailing twelve months is around 4.99%, less than SGOV's 5.11% yield.


TTM20232022202120202019201820172016
GBIL
Goldman Sachs Access Treasury 0-1 Year ETF
4.99%4.77%1.37%0.00%0.81%2.20%1.70%0.74%0.11%
SGOV
iShares 0-3 Month Treasury Bond ETF
5.11%4.87%1.45%0.03%0.04%0.00%0.00%0.00%0.00%

Drawdowns

GBIL vs. SGOV - Drawdown Comparison

The maximum GBIL drawdown since its inception was -0.76%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for GBIL and SGOV. For additional features, visit the drawdowns tool.


-0.02%-0.02%-0.01%-0.01%0.00%JulyAugustSeptemberOctoberNovemberDecember00
GBIL
SGOV

Volatility

GBIL vs. SGOV - Volatility Comparison

Goldman Sachs Access Treasury 0-1 Year ETF (GBIL) and iShares 0-3 Month Treasury Bond ETF (SGOV) have volatilities of 0.07% and 0.07%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


0.06%0.08%0.10%0.12%JulyAugustSeptemberOctoberNovemberDecember
0.07%
0.07%
GBIL
SGOV
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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