NAD vs. SGOV
Compare and contrast key facts about Nuveen Quality Municipal Income Fund (NAD) and iShares 0-3 Month Treasury Bond ETF (SGOV).
SGOV is a passively managed fund by iShares that tracks the performance of the ICE 0-3 Month US Treasury Bill Index. It was launched on May 26, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: NAD or SGOV.
Key characteristics
| NAD | SGOV | |
|---|---|---|
| YTD Return | 11.25% | 4.65% |
| 1Y Return | 20.30% | 5.37% |
| 3Y Return (Ann) | -3.63% | 3.79% |
| Sharpe Ratio | 2.26 | 21.83 |
| Sortino Ratio | 3.20 | 525.73 |
| Omega Ratio | 1.42 | 526.73 |
| Calmar Ratio | 0.74 | 539.64 |
| Martin Ratio | 12.22 | 8,566.56 |
| Ulcer Index | 1.66% | 0.00% |
| Daily Std Dev | 8.99% | 0.25% |
| Max Drawdown | -44.90% | -0.03% |
| Current Drawdown | -13.55% | 0.00% |
Correlation
The correlation between NAD 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
NAD vs. SGOV - Performance Comparison
In the year-to-date period, NAD achieves a 11.25% return, which is significantly higher than SGOV's 4.65% 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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Risk-Adjusted Performance
NAD vs. SGOV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Nuveen Quality Municipal Income Fund (NAD) 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.
Dividends
NAD vs. SGOV - Dividend Comparison
NAD's dividend yield for the trailing twelve months is around 6.15%, more than SGOV's 5.24% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
NAD Nuveen Quality Municipal Income Fund | 6.15% | 4.14% | 5.62% | 4.47% | 4.43% | 4.44% | 5.42% | 5.42% | 6.07% | 5.97% | 6.20% | 7.10% |
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
NAD vs. SGOV - Drawdown Comparison
The maximum NAD drawdown since its inception was -44.90%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for NAD and SGOV. For additional features, visit the drawdowns tool.
Volatility
NAD vs. SGOV - Volatility Comparison
Nuveen Quality Municipal Income Fund (NAD) has a higher volatility of 3.53% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.08%. This indicates that NAD'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.