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

Key characteristics


HYSASGOV
YTD Return6.81%4.62%
1Y Return12.68%5.38%
3Y Return (Ann)4.17%3.78%
Sharpe Ratio2.2921.93
Sortino Ratio3.73527.74
Omega Ratio1.42528.74
Calmar Ratio2.38541.76
Martin Ratio16.998,600.11
Ulcer Index0.75%0.00%
Daily Std Dev5.58%0.25%
Max Drawdown-19.57%-0.03%
Current Drawdown-0.89%0.00%

Correlation

-0.50.00.51.00.0

The correlation between HYSA and SGOV is 0.02, 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

HYSA vs. SGOV - Performance Comparison

In the year-to-date period, HYSA achieves a 6.81% return, which is significantly higher than SGOV's 4.62% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
5.34%
2.58%
HYSA
SGOV

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HYSA vs. SGOV - Expense Ratio Comparison

HYSA has a 0.55% expense ratio, which is higher than SGOV's 0.03% expense ratio.


HYSA
Bondbloxx USD High Yield Bond Sector Rotation ETF
Expense ratio chart for HYSA: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%
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

HYSA vs. SGOV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Bondbloxx USD High Yield Bond Sector Rotation ETF (HYSA) 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.


HYSA
Sharpe ratio
The chart of Sharpe ratio for HYSA, currently valued at 2.29, compared to the broader market-2.000.002.004.006.002.29
Sortino ratio
The chart of Sortino ratio for HYSA, currently valued at 3.73, compared to the broader market-2.000.002.004.006.008.0010.0012.003.73
Omega ratio
The chart of Omega ratio for HYSA, currently valued at 1.42, compared to the broader market1.001.502.002.503.001.42
Calmar ratio
The chart of Calmar ratio for HYSA, currently valued at 4.78, compared to the broader market0.005.0010.0015.004.78
Martin ratio
The chart of Martin ratio for HYSA, currently valued at 16.99, compared to the broader market0.0020.0040.0060.0080.00100.0016.99
SGOV
Sharpe ratio
The chart of Sharpe ratio for SGOV, currently valued at 21.93, compared to the broader market-2.000.002.004.006.0021.93
Sortino ratio
The chart of Sortino ratio for SGOV, currently valued at 527.74, compared to the broader market-2.000.002.004.006.008.0010.0012.00527.74
Omega ratio
The chart of Omega ratio for SGOV, currently valued at 528.74, compared to the broader market1.001.502.002.503.00528.74
Calmar ratio
The chart of Calmar ratio for SGOV, currently valued at 541.76, compared to the broader market0.005.0010.0015.00541.76
Martin ratio
The chart of Martin ratio for SGOV, currently valued at 8600.11, compared to the broader market0.0020.0040.0060.0080.00100.008,600.11

HYSA vs. SGOV - Sharpe Ratio Comparison

The current HYSA Sharpe Ratio is 2.29, which is lower than the SGOV Sharpe Ratio of 21.93. The chart below compares the historical Sharpe Ratios of HYSA 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
2.29
21.93
HYSA
SGOV

Dividends

HYSA vs. SGOV - Dividend Comparison

HYSA's dividend yield for the trailing twelve months is around 7.15%, more than SGOV's 5.24% yield.


TTM20232022202120202019201820172016201520142013
HYSA
Bondbloxx USD High Yield Bond Sector Rotation ETF
7.15%8.00%3.30%2.83%1.39%4.72%5.03%4.75%4.36%4.36%4.41%5.30%
SGOV
iShares 0-3 Month Treasury Bond ETF
5.24%4.87%1.45%0.03%0.04%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

HYSA vs. SGOV - Drawdown Comparison

The maximum HYSA drawdown since its inception was -19.57%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for HYSA and SGOV. For additional features, visit the drawdowns tool.


-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.89%
0
HYSA
SGOV

Volatility

HYSA vs. SGOV - Volatility Comparison

Bondbloxx USD High Yield Bond Sector Rotation ETF (HYSA) has a higher volatility of 1.66% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.08%. This indicates that HYSA'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%0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
1.66%
0.08%
HYSA
SGOV