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

Key characteristics


ICVTSGOV
YTD Return11.66%4.62%
1Y Return23.36%5.39%
3Y Return (Ann)-2.27%3.78%
Sharpe Ratio2.6722.10
Ulcer Index1.55%0.00%
Daily Std Dev8.38%0.25%
Max Drawdown-33.25%-0.03%
Current Drawdown-11.03%0.00%

Correlation

-0.50.00.51.0-0.0

The correlation between ICVT and SGOV is -0.04. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Performance

ICVT vs. SGOV - Performance Comparison

In the year-to-date period, ICVT achieves a 11.66% 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.


0.00%2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
11.56%
2.61%
ICVT
SGOV

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ICVT vs. SGOV - Expense Ratio Comparison

ICVT has a 0.20% expense ratio, which is higher than SGOV's 0.03% 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%.


ICVT
iShares Convertible Bond ETF
Expense ratio chart for ICVT: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
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

ICVT vs. SGOV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Convertible Bond ETF (ICVT) 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.


ICVT
Sharpe ratio
The chart of Sharpe ratio for ICVT, currently valued at 2.67, compared to the broader market-2.000.002.004.006.002.67
Sortino ratio
The chart of Sortino ratio for ICVT, currently valued at 3.78, compared to the broader market-2.000.002.004.006.008.0010.0012.003.78
Omega ratio
The chart of Omega ratio for ICVT, currently valued at 1.49, compared to the broader market1.001.502.002.503.001.49
Calmar ratio
The chart of Calmar ratio for ICVT, currently valued at 0.80, compared to the broader market0.005.0010.0015.000.80
Martin ratio
The chart of Martin ratio for ICVT, currently valued at 14.46, compared to the broader market0.0020.0040.0060.0080.00100.0014.46
SGOV
Sharpe ratio
The chart of Sharpe ratio for SGOV, currently valued at 22.10, compared to the broader market-2.000.002.004.006.0022.10
Sortino ratio
No data

ICVT vs. SGOV - Sharpe Ratio Comparison

The current ICVT Sharpe Ratio is 2.67, which is lower than the SGOV Sharpe Ratio of 22.10. The chart below compares the historical Sharpe Ratios of ICVT 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
2.67
22.10
ICVT
SGOV

Dividends

ICVT vs. SGOV - Dividend Comparison

ICVT's dividend yield for the trailing twelve months is around 2.27%, less than SGOV's 5.24% yield.


TTM202320222021202020192018201720162015
ICVT
iShares Convertible Bond ETF
2.27%1.84%1.93%7.70%3.98%1.86%4.82%2.56%3.06%1.57%
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%

Drawdowns

ICVT vs. SGOV - Drawdown Comparison

The maximum ICVT drawdown since its inception was -33.25%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for ICVT and SGOV. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-11.03%
0
ICVT
SGOV

Volatility

ICVT vs. SGOV - Volatility Comparison

iShares Convertible Bond ETF (ICVT) has a higher volatility of 2.31% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.08%. This indicates that ICVT'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%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
2.31%
0.08%
ICVT
SGOV