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

Key characteristics


REITSGOV
YTD Return13.16%4.62%
1Y Return35.19%5.39%
3Y Return (Ann)2.53%3.78%
Sharpe Ratio1.9422.10
Ulcer Index3.80%0.00%
Daily Std Dev16.87%0.25%
Max Drawdown-29.30%-0.03%
Current Drawdown-1.16%0.00%

Correlation

-0.50.00.51.00.0

The correlation between REIT and SGOV is 0.00, 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

REIT vs. SGOV - Performance Comparison

In the year-to-date period, REIT achieves a 13.16% 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%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
18.29%
2.61%
REIT
SGOV

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REIT vs. SGOV - Expense Ratio Comparison

REIT has a 0.68% expense ratio, which is higher than SGOV's 0.03% expense ratio.


REIT
ALPS Active REIT ETF
Expense ratio chart for REIT: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
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

REIT vs. SGOV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ALPS Active REIT ETF (REIT) 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.


REIT
Sharpe ratio
The chart of Sharpe ratio for REIT, currently valued at 1.94, compared to the broader market-2.000.002.004.001.94
Sortino ratio
The chart of Sortino ratio for REIT, currently valued at 2.78, compared to the broader market-2.000.002.004.006.008.0010.0012.002.78
Omega ratio
The chart of Omega ratio for REIT, currently valued at 1.34, compared to the broader market1.001.502.002.503.001.35
Calmar ratio
The chart of Calmar ratio for REIT, currently valued at 1.25, compared to the broader market0.005.0010.0015.001.25
Martin ratio
The chart of Martin ratio for REIT, currently valued at 8.62, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.62
SGOV
Sharpe ratio
The chart of Sharpe ratio for SGOV, currently valued at 22.10, compared to the broader market-2.000.002.004.0022.10
Sortino ratio
No data

REIT vs. SGOV - Sharpe Ratio Comparison

The current REIT Sharpe Ratio is 1.94, which is lower than the SGOV Sharpe Ratio of 22.10. The chart below compares the historical Sharpe Ratios of REIT 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
1.94
22.10
REIT
SGOV

Dividends

REIT vs. SGOV - Dividend Comparison

REIT's dividend yield for the trailing twelve months is around 3.09%, less than SGOV's 5.24% yield.


TTM2023202220212020
REIT
ALPS Active REIT ETF
3.09%3.13%2.81%4.70%0.00%
SGOV
iShares 0-3 Month Treasury Bond ETF
5.24%4.87%1.45%0.03%0.04%

Drawdowns

REIT vs. SGOV - Drawdown Comparison

The maximum REIT drawdown since its inception was -29.30%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for REIT and SGOV. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.16%
0
REIT
SGOV

Volatility

REIT vs. SGOV - Volatility Comparison

ALPS Active REIT ETF (REIT) has a higher volatility of 4.93% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.08%. This indicates that REIT'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%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.93%
0.08%
REIT
SGOV