SPHY vs. SGOV
SPHY (SPDR Portfolio High Yield Bond ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - SPHY is a High Yield Bonds fund tracking the ICE BofA US High Yield 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, SPHY returned 4.29%/yr vs 3.55%/yr for SGOV. At a correlation of -0.03, they often move in opposite directions. SPHY charges 0.05%/yr vs 0.09%/yr for SGOV.
Performance
SPHY vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, SPHY achieves a 1.32% return, which is significantly lower than SGOV's 1.56% return.
SPHY
- 1D
- 0.09%
- 1M
- -0.18%
- YTD
- 1.32%
- 6M
- 1.93%
- 1Y
- 6.98%
- 3Y*
- 8.78%
- 5Y*
- 4.29%
- 10Y*
- 5.03%
SGOV
- 1D
- 0.01%
- 1M
- 0.28%
- YTD
- 1.56%
- 6M
- 1.80%
- 1Y
- 3.95%
- 3Y*
- 4.70%
- 5Y*
- 3.55%
- 10Y*
- —
SPHY vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
SPHY SPDR Portfolio High Yield Bond ETF | 1.32% | 8.59% | 8.54% | 12.81% | -10.57% | 5.61% | 13.23% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.56% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.05% |
Correlation
The correlation between SPHY and SGOV is -0.13, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.13 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.00 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.00 |
Correlation (All Time) Calculated using the full available price history since May 29, 2020 | -0.03 |
The correlation between SPHY and SGOV shifts across timeframes, from -0.13 (1 year) to 0.00 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
SPHY vs. SGOV — Risk / Return Rank
SPHY
SGOV
SPHY vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio High Yield Bond ETF (SPHY) 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.
| SPHY | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -18.38 | ||
| Sortino ratioReturn per unit of downside risk | -272.81 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 195.55 | -194.18 |
| Calmar ratioReturn relative to maximum drawdown | 2.90 | 398.20 | -395.29 |
| Martin ratioReturn relative to average drawdown | 13.14 | 4,461.99 | -4,448.85 |
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
| SPHY | SGOV | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.90 | 20.28 | -18.38 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.60 | 14.78 | -14.18 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.64 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.63 | 12.50 | -11.87 |
Drawdowns
SPHY vs. SGOV - Drawdown Comparison
The maximum SPHY drawdown since its inception was -21.97%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for SPHY and SGOV.
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Drawdown Indicators
| SPHY | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -21.97% | -0.03% | -21.94% |
Max Drawdown (1Y)Largest decline over 1 year | -2.41% | -0.01% | -2.40% |
Max Drawdown (3Y)Largest decline over 3 years | -4.85% | -0.01% | -4.84% |
Max Drawdown (5Y)Largest decline over 5 years | -15.29% | -0.03% | -15.26% |
Max Drawdown (10Y)Largest decline over 10 years | -21.97% | — | — |
Current DrawdownCurrent decline from peak | -0.44% | 0.00% | -0.44% |
Average DrawdownAverage peak-to-trough decline | -2.29% | -0.00% | -2.29% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.53% | 0.00% | +0.53% |
Volatility
SPHY vs. SGOV - Volatility Comparison
SPDR Portfolio High Yield Bond ETF (SPHY) has a higher volatility of 1.10% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.06%. This indicates that SPHY'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
| SPHY | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.10% | 0.06% | +1.04% |
Volatility (6M)Calculated over the trailing 6-month period | 2.94% | 0.13% | +2.81% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.69% | 0.20% | +3.49% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.18% | 0.24% | +6.94% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.88% | 0.24% | +7.64% |
SPHY vs. SGOV - Expense Ratio Comparison
SPHY has a 0.05% expense ratio, which is lower than SGOV's 0.09% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
SPHY vs. SGOV - Dividend Comparison
SPHY's dividend yield for the trailing twelve months is around 7.28%, more than SGOV's 3.85% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
SPHY SPDR Portfolio High Yield Bond ETF | 7.28% | 7.38% | 7.80% | 7.30% | 6.47% | 5.13% | 5.63% | 5.73% | 4.09% | 4.41% | 4.27% | 4.29% |
Frequently Asked Questions
SPHY and SGOV have a correlation of -0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPHY has higher volatility (1.10%) compared to SGOV (0.06%). In terms of maximum drawdown, SPHY dropped -21.97% vs SGOV's -0.03%.
On 5-year performance, SPHY leads with 4.29% vs 3.55% for SGOV. On fees, SPHY is cheaper at 0.05% 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, SPHY has performed better with a 4.29% return vs 3.55%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPHY is cheaper with a 0.05% expense ratio, compared with 0.09% for SGOV.
SPHY has the higher dividend yield at 7.28%, compared with 3.85% for SGOV.
SPHY is categorized as High Yield Bonds, while SGOV is Ultrashort Bond. SPHY tracks ICE BofA US High Yield Index, while SGOV tracks ICE 0-3 Month US Treasury Securities Index. They also come from different issuers: State Street and iShares. Their fees differ too: 0.05% for SPHY and 0.09% for SGOV.
SGOV currently has the higher Sharpe Ratio (20.28 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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