PHDG vs. SGOV
PHDG (Invesco S&P 500 Downside Hedged ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - PHDG is a Equity Hedged fund tracking the S&P 500 Dynamic VEQTOR Index, while SGOV is a Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. Both are passively managed. Over the past 5 years, PHDG returned 4.89%/yr vs 3.58%/yr for SGOV. At a correlation of -0.03, they often move in opposite directions. PHDG charges 0.39%/yr vs 0.09%/yr for SGOV.
Performance
PHDG vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, PHDG achieves a 10.56% return, which is significantly higher than SGOV's 1.70% return.
PHDG
- 1D
- -0.33%
- 1M
- -1.88%
- YTD
- 10.56%
- 6M
- 10.62%
- 1Y
- 21.44%
- 3Y*
- 9.78%
- 5Y*
- 4.89%
- 10Y*
- 7.12%
SGOV
- 1D
- 0.01%
- 1M
- 0.27%
- YTD
- 1.70%
- 6M
- 1.80%
- 1Y
- 3.93%
- 3Y*
- 4.68%
- 5Y*
- 3.58%
- 10Y*
- —
PHDG vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
PHDG Invesco S&P 500 Downside Hedged ETF | 10.56% | 2.72% | 10.95% | 8.18% | -14.09% | 15.67% | 9.83% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.70% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
Correlation
The correlation between PHDG and SGOV is -0.07, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.08 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.06 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.03 |
Correlation (All Time) Calculated using the full available price history since May 28, 2020 | -0.03 |
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Return for Risk
PHDG vs. SGOV — Risk / Return Rank
PHDG
SGOV
PHDG vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 Downside Hedged ETF (PHDG) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| PHDG | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -18.48 | ||
| Sortino ratioReturn per unit of downside risk | -271.65 | ||
| Omega ratioGain probability vs. loss probability | 1.39 | 194.55 | -193.16 |
| Calmar ratioReturn relative to maximum drawdown | 3.93 | 396.11 | -392.18 |
| Martin ratioReturn relative to average drawdown | 17.30 | 4,438.60 | -4,421.30 |
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Drawdowns
PHDG vs. SGOV - Drawdown Comparison
The maximum PHDG drawdown since its inception was -17.70%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for PHDG and SGOV.
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Drawdown Indicators
| PHDG | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.70% | -0.03% | -17.67% |
Max Drawdown (1Y)Largest decline over 1 year | -5.48% | -0.01% | -5.47% |
Max Drawdown (3Y)Largest decline over 3 years | -14.78% | -0.01% | -14.77% |
Max Drawdown (5Y)Largest decline over 5 years | -17.06% | -0.03% | -17.03% |
Max Drawdown (10Y)Largest decline over 10 years | -17.06% | — | — |
Current DrawdownCurrent decline from peak | -5.01% | 0.00% | -5.01% |
Average DrawdownAverage peak-to-trough decline | -6.23% | -0.00% | -6.23% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.24% | 0.00% | +1.24% |
Volatility
PHDG vs. SGOV - Volatility Comparison
Invesco S&P 500 Downside Hedged ETF (PHDG) has a higher volatility of 7.74% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.06%. This indicates that PHDG'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.
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Volatility by Period
| PHDG | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.74% | 0.06% | +7.68% |
Volatility (6M)Calculated over the trailing 6-month period | 9.73% | 0.13% | +9.60% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.39% | 0.19% | +11.20% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.40% | 0.24% | +11.16% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.15% | 0.24% | +11.91% |
PHDG vs. SGOV - Expense Ratio Comparison
PHDG has a 0.39% expense ratio, which is higher than SGOV's 0.09% expense ratio.
Dividends
PHDG vs. SGOV - Dividend Comparison
PHDG's dividend yield for the trailing twelve months is around 2.28%, less than SGOV's 3.85% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PHDG Invesco S&P 500 Downside Hedged ETF | 2.28% | 2.10% | 1.94% | 1.93% | 1.35% | 0.44% | 0.63% | 1.80% | 1.56% | 1.83% | 2.29% | 1.64% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.85% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
PHDG and SGOV have a correlation of -0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PHDG has higher volatility (7.74%) compared to SGOV (0.06%). In terms of maximum drawdown, PHDG dropped -17.70% vs SGOV's -0.03%.
On 5-year performance, PHDG leads with 4.89% vs 3.58% for SGOV. On fees, SGOV is cheaper at 0.09% per year. On volatility, SGOV has been the lower-risk option at 0.06%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, PHDG has performed better with a 4.89% return vs 3.58%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SGOV is cheaper with a 0.09% expense ratio, compared with 0.39% for PHDG.
SGOV has the higher dividend yield at 3.85%, compared with 2.28% for PHDG.
PHDG is categorized as Equity Hedged, while SGOV is Ultrashort Bond. PHDG tracks S&P 500 Dynamic VEQTOR Index, while SGOV tracks ICE 0-3 Month US Treasury Securities Index. They also come from different issuers: Invesco and iShares. Their fees differ too: 0.39% for PHDG and 0.09% for SGOV.
SGOV currently has the higher Sharpe Ratio (20.38 vs 1.90), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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