RYLG vs. SGOV
RYLG (Global X Russell 2000 Covered Call & Growth ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - RYLG is a Derivative Income fund tracking the Cboe Russell 2000 Half BuyWrite 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 3 years, RYLG returned 12.54%/yr vs 4.72%/yr for SGOV. At a correlation of -0.05, they often move in opposite directions. RYLG charges 0.35%/yr vs 0.09%/yr for SGOV.
Performance
RYLG vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, RYLG achieves a 12.45% return, which is significantly higher than SGOV's 1.51% return.
RYLG
- 1D
- -0.97%
- 1M
- 3.55%
- YTD
- 12.45%
- 6M
- 12.24%
- 1Y
- 29.67%
- 3Y*
- 12.54%
- 5Y*
- —
- 10Y*
- —
SGOV
- 1D
- 0.01%
- 1M
- 0.29%
- YTD
- 1.51%
- 6M
- 1.80%
- 1Y
- 3.95%
- 3Y*
- 4.72%
- 5Y*
- 3.54%
- 10Y*
- —
RYLG vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
RYLG Global X Russell 2000 Covered Call & Growth ETF | 12.45% | 9.39% | 10.57% | 8.33% | -1.56% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.51% | 4.24% | 5.27% | 5.12% | 0.86% |
Correlation
The correlation between RYLG and SGOV is -0.09, 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 | -0.09 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.03 |
Correlation (All Time) Calculated using the full available price history since Oct 6, 2022 | -0.05 |
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Return for Risk
RYLG vs. SGOV — Risk / Return Rank
RYLG
SGOV
RYLG vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Global X Russell 2000 Covered Call & Growth ETF (RYLG) 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.
| RYLG | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -18.27 | ||
| Sortino ratioReturn per unit of downside risk | -272.85 | ||
| Omega ratioGain probability vs. loss probability | 1.35 | 195.55 | -194.20 |
| Calmar ratioReturn relative to maximum drawdown | 3.64 | 398.20 | -394.56 |
| Martin ratioReturn relative to average drawdown | 14.04 | 4,462.00 | -4,447.97 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| RYLG | SGOV | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.01 | 20.28 | -18.27 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 14.73 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.63 | 12.48 | -11.86 |
Drawdowns
RYLG vs. SGOV - Drawdown Comparison
The maximum RYLG drawdown since its inception was -22.37%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for RYLG and SGOV.
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Drawdown Indicators
| RYLG | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.37% | -0.03% | -22.34% |
Max Drawdown (1Y)Largest decline over 1 year | -8.18% | -0.01% | -8.17% |
Max Drawdown (3Y)Largest decline over 3 years | -22.37% | -0.01% | -22.36% |
Max Drawdown (5Y)Largest decline over 5 years | — | -0.03% | — |
Current DrawdownCurrent decline from peak | -0.97% | 0.00% | -0.97% |
Average DrawdownAverage peak-to-trough decline | -4.13% | -0.00% | -4.13% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.12% | 0.00% | +2.12% |
Volatility
RYLG vs. SGOV - Volatility Comparison
Global X Russell 2000 Covered Call & Growth ETF (RYLG) has a higher volatility of 3.93% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that RYLG'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
| RYLG | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.93% | 0.05% | +3.88% |
Volatility (6M)Calculated over the trailing 6-month period | 10.67% | 0.13% | +10.54% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.88% | 0.20% | +14.68% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.17% | 0.24% | +16.93% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.17% | 0.24% | +16.93% |
RYLG vs. SGOV - Expense Ratio Comparison
RYLG has a 0.35% expense ratio, which is higher than SGOV's 0.09% expense ratio.
Dividends
RYLG vs. SGOV - Dividend Comparison
RYLG's dividend yield for the trailing twelve months is around 10.34%, more than SGOV's 3.86% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
RYLG Global X Russell 2000 Covered Call & Growth ETF | 10.34% | 10.82% | 23.73% | 5.78% | 4.36% | 0.00% | 0.00% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.86% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% |
Frequently Asked Questions
RYLG and SGOV have a correlation of -0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
RYLG has higher volatility (3.93%) compared to SGOV (0.05%). In terms of maximum drawdown, RYLG dropped -22.37% vs SGOV's -0.03%.
On 3-year performance, RYLG leads with 12.54% vs 4.72% for SGOV. On fees, SGOV is cheaper at 0.09% per year. On volatility, SGOV has been the lower-risk option at 0.05%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, RYLG has performed better with a 12.54% return vs 4.72%. 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 0.35% for RYLG.
RYLG has the higher dividend yield at 10.34%, compared with 3.86% for SGOV.
RYLG is categorized as Derivative Income, while SGOV is Ultrashort Bond. RYLG tracks Cboe Russell 2000 Half BuyWrite Index, while SGOV tracks ICE 0-3 Month US Treasury Securities Index. They also come from different issuers: Global X and iShares. Their fees differ too: 0.35% for RYLG and 0.09% for SGOV.
SGOV currently has the higher Sharpe Ratio (20.28 vs 2.01), 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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