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ISJP.L vs. SGOV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ISJP.LSGOV
YTD Return3.14%4.62%
1Y Return8.58%5.39%
3Y Return (Ann)0.88%3.78%
Sharpe Ratio0.5822.10
Ulcer Index3.53%0.00%
Daily Std Dev13.86%0.25%
Max Drawdown-32.93%-0.03%
Current Drawdown-3.23%0.00%

Correlation

-0.50.00.51.00.0

The correlation between ISJP.L 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.

Performance

ISJP.L vs. SGOV - Performance Comparison

In the year-to-date period, ISJP.L achieves a 3.14% return, which is significantly lower 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.


10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
16.99%
11.82%
ISJP.L
SGOV

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ISJP.L vs. SGOV - Expense Ratio Comparison

ISJP.L has a 0.58% expense ratio, which is higher than SGOV's 0.03% expense ratio.


ISJP.L
iShares MSCI Japan Small Cap UCITS ETF (Dist)
Expense ratio chart for ISJP.L: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%
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

ISJP.L vs. SGOV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Japan Small Cap UCITS ETF (Dist) (ISJP.L) 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.


ISJP.L
Sharpe ratio
The chart of Sharpe ratio for ISJP.L, currently valued at 0.93, compared to the broader market-2.000.002.004.000.93
Sortino ratio
The chart of Sortino ratio for ISJP.L, currently valued at 1.30, compared to the broader market-2.000.002.004.006.008.0010.0012.001.30
Omega ratio
The chart of Omega ratio for ISJP.L, currently valued at 1.18, compared to the broader market1.001.502.002.503.001.18
Calmar ratio
The chart of Calmar ratio for ISJP.L, currently valued at 0.74, compared to the broader market0.005.0010.0015.000.74
Martin ratio
The chart of Martin ratio for ISJP.L, currently valued at 3.84, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.84
SGOV
Sharpe ratio
The chart of Sharpe ratio for SGOV, currently valued at 21.54, compared to the broader market-2.000.002.004.0021.54
Sortino ratio
No data

ISJP.L vs. SGOV - Sharpe Ratio Comparison

The current ISJP.L Sharpe Ratio is 0.58, which is lower than the SGOV Sharpe Ratio of 22.10. The chart below compares the historical Sharpe Ratios of ISJP.L 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
0.93
21.54
ISJP.L
SGOV

Dividends

ISJP.L vs. SGOV - Dividend Comparison

ISJP.L's dividend yield for the trailing twelve months is around 1.76%, less than SGOV's 5.24% yield.


TTM20232022202120202019201820172016201520142013
ISJP.L
iShares MSCI Japan Small Cap UCITS ETF (Dist)
1.76%1.77%1.99%1.52%1.58%1.53%1.39%1.29%1.07%0.68%1.70%0.78%
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

ISJP.L vs. SGOV - Drawdown Comparison

The maximum ISJP.L drawdown since its inception was -32.93%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for ISJP.L and SGOV. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.32%
0
ISJP.L
SGOV

Volatility

ISJP.L vs. SGOV - Volatility Comparison

iShares MSCI Japan Small Cap UCITS ETF (Dist) (ISJP.L) has a higher volatility of 4.26% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.08%. This indicates that ISJP.L'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%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.26%
0.08%
ISJP.L
SGOV