GOVT vs. VGSH
Compare and contrast key facts about iShares U.S. Treasury Bond ETF (GOVT) and Vanguard Short-Term Treasury ETF (VGSH).
GOVT and VGSH 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. VGSH is a passively managed fund by Vanguard that tracks the performance of the Barclays U.S. 1-3 Year Government Float Adjusted Index. It was launched on Nov 19, 2009. Both GOVT and VGSH 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 VGSH.
Key characteristics
| GOVT | VGSH | |
|---|---|---|
| YTD Return | 0.77% | 3.37% |
| 1Y Return | 4.98% | 4.96% |
| 3Y Return (Ann) | -2.63% | 1.16% |
| 5Y Return (Ann) | -0.74% | 1.26% |
| 10Y Return (Ann) | 0.84% | 1.27% |
| Sharpe Ratio | 1.00 | 2.75 |
| Sortino Ratio | 1.46 | 4.42 |
| Omega Ratio | 1.18 | 1.58 |
| Calmar Ratio | 0.33 | 2.47 |
| Martin Ratio | 3.06 | 14.25 |
| Ulcer Index | 1.79% | 0.36% |
| Daily Std Dev | 5.47% | 1.88% |
| Max Drawdown | -19.07% | -5.70% |
| Current Drawdown | -12.33% | -0.84% |
Correlation
The correlation between GOVT and VGSH is 0.69, 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.
Performance
GOVT vs. VGSH - Performance Comparison
In the year-to-date period, GOVT achieves a 0.77% return, which is significantly lower than VGSH's 3.37% return. Over the past 10 years, GOVT has underperformed VGSH with an annualized return of 0.84%, while VGSH has yielded a comparatively higher 1.27% 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. VGSH - Expense Ratio Comparison
GOVT has a 0.15% expense ratio, which is higher than VGSH's 0.04% 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. VGSH - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares U.S. Treasury Bond ETF (GOVT) and Vanguard Short-Term Treasury ETF (VGSH). 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. VGSH - Dividend Comparison
GOVT's dividend yield for the trailing twelve months is around 3.14%, less than VGSH's 4.15% 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% |
VGSH Vanguard Short-Term Treasury ETF | 4.15% | 3.32% | 1.15% | 0.66% | 1.75% | 2.28% | 1.79% | 1.10% | 0.84% | 0.71% | 0.46% | 0.34% |
Drawdowns
GOVT vs. VGSH - Drawdown Comparison
The maximum GOVT drawdown since its inception was -19.07%, which is greater than VGSH's maximum drawdown of -5.70%. Use the drawdown chart below to compare losses from any high point for GOVT and VGSH. For additional features, visit the drawdowns tool.
Volatility
GOVT vs. VGSH - Volatility Comparison
iShares U.S. Treasury Bond ETF (GOVT) has a higher volatility of 1.46% compared to Vanguard Short-Term Treasury ETF (VGSH) at 0.43%. This indicates that GOVT's price experiences larger fluctuations and is considered to be riskier than VGSH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.