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

Correlation

The correlation between SCHO and SGOV is 0.11, 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.


-0.50.00.51.00.1

Performance

SCHO vs. SGOV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schwab Short-Term U.S. Treasury ETF (SCHO) and iShares 0-3 Month Treasury Bond ETF (SGOV). The values are adjusted to include any dividend payments, if applicable.

6.00%7.00%8.00%9.00%10.00%11.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
9.02%
12.39%
SCHO
SGOV

Key characteristics

Sharpe Ratio

SCHO:

2.91

SGOV:

21.80

Sortino Ratio

SCHO:

4.89

SGOV:

517.08

Omega Ratio

SCHO:

1.66

SGOV:

518.08

Calmar Ratio

SCHO:

5.72

SGOV:

530.63

Martin Ratio

SCHO:

14.67

SGOV:

8,423.53

Ulcer Index

SCHO:

0.38%

SGOV:

0.00%

Daily Std Dev

SCHO:

1.93%

SGOV:

0.24%

Max Drawdown

SCHO:

-5.17%

SGOV:

-0.03%

Current Drawdown

SCHO:

-0.44%

SGOV:

0.00%

Returns By Period

The year-to-date returns for both stocks are quite close, with SCHO having a 5.34% return and SGOV slightly lower at 5.15%.


SCHO

YTD

5.34%

1M

0.34%

6M

3.00%

1Y

5.51%

5Y*

2.42%

10Y*

2.25%

SGOV

YTD

5.15%

1M

0.39%

6M

2.53%

1Y

5.25%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SCHO vs. SGOV - Expense Ratio Comparison

SCHO has a 0.05% expense ratio, which is higher than SGOV's 0.03% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


SCHO
Schwab Short-Term U.S. Treasury ETF
Expense ratio chart for SCHO: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
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

SCHO vs. SGOV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Short-Term U.S. Treasury ETF (SCHO) 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.


Sharpe ratio
The chart of Sharpe ratio for SCHO, currently valued at 2.91, compared to the broader market0.002.004.002.9121.80
The chart of Sortino ratio for SCHO, currently valued at 4.89, compared to the broader market-2.000.002.004.006.008.0010.004.89517.08
The chart of Omega ratio for SCHO, currently valued at 1.66, compared to the broader market0.501.001.502.002.503.001.66518.08
The chart of Calmar ratio for SCHO, currently valued at 5.72, compared to the broader market0.005.0010.0015.005.72530.63
The chart of Martin ratio for SCHO, currently valued at 14.67, compared to the broader market0.0020.0040.0060.0080.00100.0014.678,423.53
SCHO
SGOV

The current SCHO Sharpe Ratio is 2.91, which is lower than the SGOV Sharpe Ratio of 21.80. The chart below compares the historical Sharpe Ratios of SCHO 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 Ratio5.0010.0015.0020.00JulyAugustSeptemberOctoberNovemberDecember
2.91
21.80
SCHO
SGOV

Dividends

SCHO vs. SGOV - Dividend Comparison

SCHO's dividend yield for the trailing twelve months is around 5.77%, more than SGOV's 5.11% yield.


TTM20232022202120202019201820172016201520142013
SCHO
Schwab Short-Term U.S. Treasury ETF
5.77%5.99%1.97%0.65%2.08%3.63%2.72%1.80%1.23%1.06%0.71%0.43%
SGOV
iShares 0-3 Month Treasury Bond ETF
5.11%4.87%1.45%0.03%0.04%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

SCHO vs. SGOV - Drawdown Comparison

The maximum SCHO drawdown since its inception was -5.17%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for SCHO and SGOV. For additional features, visit the drawdowns tool.


-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.44%
0
SCHO
SGOV

Volatility

SCHO vs. SGOV - Volatility Comparison

Schwab Short-Term U.S. Treasury ETF (SCHO) has a higher volatility of 0.34% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.06%. This indicates that SCHO'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%0.20%0.40%0.60%0.80%JulyAugustSeptemberOctoberNovemberDecember
0.34%
0.06%
SCHO
SGOV
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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