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SHY vs. GOVT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SHYGOVT
Sharpe Ratio2.540.94
Sortino Ratio4.031.38
Omega Ratio1.521.17
Calmar Ratio2.730.33
Martin Ratio12.012.72
Ulcer Index0.39%1.90%
Daily Std Dev1.87%5.48%
Max Drawdown-5.71%-19.07%
Current Drawdown-0.50%-11.05%

Correlation

The correlation between SHY and GOVT is 0.73, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.7

Performance

SHY vs. GOVT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares 1-3 Year Treasury Bond ETF (SHY) and iShares U.S. Treasury Bond ETF (GOVT). The values are adjusted to include any dividend payments, if applicable.

10.00%12.00%14.00%16.00%18.00%JuneJulyAugustSeptemberOctoberNovember
14.24%
14.29%
SHY
GOVT

Returns By Period

In the year-to-date period, SHY achieves a 3.66% return, which is significantly higher than GOVT's 2.24% return. Over the past 10 years, SHY has outperformed GOVT with an annualized return of 1.22%, while GOVT has yielded a comparatively lower 0.95% annualized return.


SHY

YTD

3.66%

1M

0.30%

6M

3.09%

1Y

4.50%

5Y (annualized)

1.24%

10Y (annualized)

1.22%

GOVT

YTD

2.24%

1M

0.85%

6M

4.08%

1Y

4.75%

5Y (annualized)

-0.48%

10Y (annualized)

0.95%

Compare stocks, funds, or ETFs

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


SHY vs. GOVT - Expense Ratio Comparison

Both SHY and GOVT have an expense ratio of 0.15%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


SHY
iShares 1-3 Year Treasury Bond ETF
Expense ratio chart for SHY: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for GOVT: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

SHY vs. GOVT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares 1-3 Year Treasury Bond ETF (SHY) and iShares U.S. Treasury Bond ETF (GOVT). 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 SHY, currently valued at 2.54, compared to the broader market-2.000.002.004.002.540.94
The chart of Sortino ratio for SHY, currently valued at 4.03, compared to the broader market-2.000.002.004.006.008.0010.0012.004.031.38
The chart of Omega ratio for SHY, currently valued at 1.52, compared to the broader market0.501.001.502.002.503.001.521.17
The chart of Calmar ratio for SHY, currently valued at 2.73, compared to the broader market0.005.0010.0015.002.730.33
The chart of Martin ratio for SHY, currently valued at 12.01, compared to the broader market0.0020.0040.0060.0080.00100.0012.012.72
SHY
GOVT

The current SHY Sharpe Ratio is 2.54, which is higher than the GOVT Sharpe Ratio of 0.94. The chart below compares the historical Sharpe Ratios of SHY and GOVT, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.54
0.94
SHY
GOVT

Dividends

SHY vs. GOVT - Dividend Comparison

SHY's dividend yield for the trailing twelve months is around 3.55%, more than GOVT's 2.85% yield.


TTM20232022202120202019201820172016201520142013
SHY
iShares 1-3 Year Treasury Bond ETF
3.55%2.99%1.30%0.26%0.94%2.12%1.72%0.98%0.72%0.54%0.36%0.26%
GOVT
iShares U.S. Treasury Bond ETF
2.85%2.66%1.76%0.96%2.17%1.98%1.97%1.57%1.40%1.25%1.17%0.94%

Drawdowns

SHY vs. GOVT - Drawdown Comparison

The maximum SHY drawdown since its inception was -5.71%, smaller than the maximum GOVT drawdown of -19.07%. Use the drawdown chart below to compare losses from any high point for SHY and GOVT. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.50%
-11.05%
SHY
GOVT

Volatility

SHY vs. GOVT - Volatility Comparison

The current volatility for iShares 1-3 Year Treasury Bond ETF (SHY) is 0.44%, while iShares U.S. Treasury Bond ETF (GOVT) has a volatility of 1.70%. This indicates that SHY experiences smaller price fluctuations and is considered to be less risky than GOVT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
0.44%
1.70%
SHY
GOVT
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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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