GOVZ vs. SPY
Compare and contrast key facts about iShares 25+ Year Treasury STRIPS Bond ETF (GOVZ) and SPDR S&P 500 ETF (SPY).
GOVZ and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. GOVZ is a passively managed fund by iShares that tracks the performance of the ICE BofA Long US Treasury Principal STRIPS Index. It was launched on Sep 22, 2020. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993. Both GOVZ and SPY 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: GOVZ or SPY.
Key characteristics
| GOVZ | SPY | |
|---|---|---|
| YTD Return | -11.98% | 26.01% |
| 1Y Return | 5.03% | 33.73% |
| 3Y Return (Ann) | -18.54% | 9.91% |
| Sharpe Ratio | 0.12 | 2.82 |
| Sortino Ratio | 0.33 | 3.76 |
| Omega Ratio | 1.04 | 1.53 |
| Calmar Ratio | 0.05 | 4.05 |
| Martin Ratio | 0.27 | 18.33 |
| Ulcer Index | 10.20% | 1.86% |
| Daily Std Dev | 23.08% | 12.07% |
| Max Drawdown | -59.65% | -55.19% |
| Current Drawdown | -52.96% | -0.90% |
Correlation
The correlation between GOVZ and SPY 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
GOVZ vs. SPY - Performance Comparison
In the year-to-date period, GOVZ achieves a -11.98% return, which is significantly lower than SPY's 26.01% 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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GOVZ vs. SPY - Expense Ratio Comparison
GOVZ has a 0.15% expense ratio, which is higher than SPY's 0.09% 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
GOVZ vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares 25+ Year Treasury STRIPS Bond ETF (GOVZ) and SPDR S&P 500 ETF (SPY). 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
GOVZ vs. SPY - Dividend Comparison
GOVZ's dividend yield for the trailing twelve months is around 4.41%, more than SPY's 1.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GOVZ iShares 25+ Year Treasury STRIPS Bond ETF | 4.41% | 3.85% | 3.70% | 1.76% | 0.39% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.18% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
GOVZ vs. SPY - Drawdown Comparison
The maximum GOVZ drawdown since its inception was -59.65%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for GOVZ and SPY. For additional features, visit the drawdowns tool.
Volatility
GOVZ vs. SPY - Volatility Comparison
iShares 25+ Year Treasury STRIPS Bond ETF (GOVZ) has a higher volatility of 8.57% compared to SPDR S&P 500 ETF (SPY) at 3.84%. This indicates that GOVZ's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.