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

Performance

HYGW vs. SGOV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares High Yield Corporate Bond Buywrite Strategy ETF (HYGW) and iShares 0-3 Month Treasury Bond ETF (SGOV). The values are adjusted to include any dividend payments, if applicable.

0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.22%
2.61%
HYGW
SGOV

Returns By Period

In the year-to-date period, HYGW achieves a 7.18% return, which is significantly higher than SGOV's 4.75% return.


HYGW

YTD

7.18%

1M

0.52%

6M

4.21%

1Y

8.92%

5Y (annualized)

N/A

10Y (annualized)

N/A

SGOV

YTD

4.75%

1M

0.39%

6M

2.60%

1Y

5.35%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


HYGWSGOV
Sharpe Ratio3.4521.93
Sortino Ratio5.35526.73
Omega Ratio1.76527.73
Calmar Ratio5.45540.70
Martin Ratio33.908,583.31
Ulcer Index0.27%0.00%
Daily Std Dev2.64%0.25%
Max Drawdown-5.49%-0.03%
Current Drawdown-0.43%0.00%

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HYGW vs. SGOV - Expense Ratio Comparison

HYGW has a 0.69% expense ratio, which is higher than SGOV's 0.03% expense ratio.


HYGW
iShares High Yield Corporate Bond Buywrite Strategy ETF
Expense ratio chart for HYGW: current value at 0.69% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.69%
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%

Correlation

-0.50.00.51.00.0

The correlation between HYGW 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.

Risk-Adjusted Performance

HYGW vs. SGOV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares High Yield Corporate Bond Buywrite Strategy ETF (HYGW) 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 HYGW, currently valued at 3.45, compared to the broader market0.002.004.003.4521.93
The chart of Sortino ratio for HYGW, currently valued at 5.35, compared to the broader market-2.000.002.004.006.008.0010.0012.005.35526.73
The chart of Omega ratio for HYGW, currently valued at 1.76, compared to the broader market0.501.001.502.002.503.001.76527.73
The chart of Calmar ratio for HYGW, currently valued at 5.45, compared to the broader market0.005.0010.0015.005.45540.70
The chart of Martin ratio for HYGW, currently valued at 33.90, compared to the broader market0.0020.0040.0060.0080.00100.0033.908,583.31
HYGW
SGOV

The current HYGW Sharpe Ratio is 3.45, which is lower than the SGOV Sharpe Ratio of 21.93. The chart below compares the historical Sharpe Ratios of HYGW 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 Ratio0.005.0010.0015.0020.00JuneJulyAugustSeptemberOctoberNovember
3.45
21.93
HYGW
SGOV

Dividends

HYGW vs. SGOV - Dividend Comparison

HYGW's dividend yield for the trailing twelve months is around 12.58%, more than SGOV's 5.24% yield.


TTM2023202220212020
HYGW
iShares High Yield Corporate Bond Buywrite Strategy ETF
12.58%15.98%8.72%0.00%0.00%
SGOV
iShares 0-3 Month Treasury Bond ETF
5.24%4.87%1.45%0.03%0.04%

Drawdowns

HYGW vs. SGOV - Drawdown Comparison

The maximum HYGW drawdown since its inception was -5.49%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for HYGW and SGOV. For additional features, visit the drawdowns tool.


-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.43%
0
HYGW
SGOV

Volatility

HYGW vs. SGOV - Volatility Comparison

iShares High Yield Corporate Bond Buywrite Strategy ETF (HYGW) has a higher volatility of 1.05% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.08%. This indicates that HYGW'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.


0.00%0.20%0.40%0.60%0.80%1.00%JuneJulyAugustSeptemberOctoberNovember
1.05%
0.08%
HYGW
SGOV