GOVT vs. AGG
Compare and contrast key facts about iShares U.S. Treasury Bond ETF (GOVT) and iShares Core U.S. Aggregate Bond ETF (AGG).
GOVT and AGG are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. GOVT is a passively managed fund by iShares that tracks the performance of the Barclays Capital U.S. Treasury Bond Index. It was launched on Feb 14, 2012. AGG is a passively managed fund by iShares that tracks the performance of the Barclays Capital U.S. Aggregate Bond Index. It was launched on Sep 22, 2003. Both GOVT and AGG are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GOVT or AGG.
Key characteristics
| GOVT | AGG | |
|---|---|---|
| YTD Return | 0.77% | 1.78% |
| 1Y Return | 4.98% | 6.87% |
| 3Y Return (Ann) | -2.63% | -2.07% |
| 5Y Return (Ann) | -0.74% | -0.18% |
| 10Y Return (Ann) | 0.84% | 1.45% |
| Sharpe Ratio | 1.00 | 1.29 |
| Sortino Ratio | 1.46 | 1.88 |
| Omega Ratio | 1.18 | 1.23 |
| Calmar Ratio | 0.33 | 0.52 |
| Martin Ratio | 3.06 | 4.35 |
| Ulcer Index | 1.79% | 1.71% |
| Daily Std Dev | 5.47% | 5.79% |
| Max Drawdown | -19.07% | -18.43% |
| Current Drawdown | -12.33% | -8.52% |
Correlation
The correlation between GOVT and AGG is 0.90, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
GOVT vs. AGG - Performance Comparison
In the year-to-date period, GOVT achieves a 0.77% return, which is significantly lower than AGG's 1.78% return. Over the past 10 years, GOVT has underperformed AGG with an annualized return of 0.84%, while AGG has yielded a comparatively higher 1.45% annualized 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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GOVT vs. AGG - Expense Ratio Comparison
GOVT has a 0.15% expense ratio, which is higher than AGG's 0.05% 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%.
Risk-Adjusted Performance
GOVT vs. AGG - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares U.S. Treasury Bond ETF (GOVT) and iShares Core U.S. Aggregate Bond ETF (AGG). 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
GOVT vs. AGG - Dividend Comparison
GOVT's dividend yield for the trailing twelve months is around 3.14%, less than AGG's 3.64% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GOVT iShares U.S. Treasury Bond ETF | 3.14% | 2.66% | 1.76% | 0.96% | 2.17% | 1.98% | 1.97% | 1.57% | 1.40% | 1.25% | 1.17% | 0.94% |
AGG iShares Core U.S. Aggregate Bond ETF | 3.64% | 3.13% | 2.39% | 1.77% | 2.14% | 2.70% | 2.96% | 2.32% | 2.39% | 2.45% | 2.40% | 2.32% |
Drawdowns
GOVT vs. AGG - Drawdown Comparison
The maximum GOVT drawdown since its inception was -19.07%, roughly equal to the maximum AGG drawdown of -18.43%. Use the drawdown chart below to compare losses from any high point for GOVT and AGG. For additional features, visit the drawdowns tool.
Volatility
GOVT vs. AGG - Volatility Comparison
The current volatility for iShares U.S. Treasury Bond ETF (GOVT) is 1.46%, while iShares Core U.S. Aggregate Bond ETF (AGG) has a volatility of 1.64%. This indicates that GOVT experiences smaller price fluctuations and is considered to be less risky than AGG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.