SPTS vs. USFR
Compare and contrast key facts about SPDR Portfolio Short Term Treasury ETF (SPTS) and WisdomTree Bloomberg Floating Rate Treasury Fund (USFR).
SPTS and USFR are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SPTS is a passively managed fund by State Street that tracks the performance of the Bloomberg US Treasury (1-3 Y) (Inception 4/30/1996). It was launched on Nov 30, 2011. USFR is a passively managed fund by WisdomTree that tracks the performance of the Bloomberg U.S. Treasury Floating Rate Bond Index. It was launched on Feb 4, 2014. Both SPTS and USFR are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SPTS or USFR.
Key characteristics
| SPTS | USFR | |
|---|---|---|
| YTD Return | 3.42% | 4.73% |
| 1Y Return | 5.01% | 5.32% |
| 3Y Return (Ann) | 1.15% | 3.95% |
| 5Y Return (Ann) | 1.27% | 2.51% |
| 10Y Return (Ann) | 1.29% | 2.38% |
| Sharpe Ratio | 2.75 | 14.85 |
| Sortino Ratio | 4.42 | 54.03 |
| Omega Ratio | 1.57 | 13.16 |
| Calmar Ratio | 2.42 | 88.94 |
| Martin Ratio | 15.77 | 757.73 |
| Ulcer Index | 0.34% | 0.01% |
| Daily Std Dev | 1.95% | 0.36% |
| Max Drawdown | -5.83% | -1.36% |
| Current Drawdown | -0.82% | 0.00% |
Correlation
The correlation between SPTS and USFR is 0.03, 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
SPTS vs. USFR - Performance Comparison
In the year-to-date period, SPTS achieves a 3.42% return, which is significantly lower than USFR's 4.73% return. Over the past 10 years, SPTS has underperformed USFR with an annualized return of 1.29%, while USFR has yielded a comparatively higher 2.38% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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SPTS vs. USFR - Expense Ratio Comparison
SPTS has a 0.06% expense ratio, which is lower than USFR's 0.15% 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%.
Risk-Adjusted Performance
SPTS vs. USFR - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio Short Term Treasury ETF (SPTS) and WisdomTree Bloomberg Floating Rate Treasury Fund (USFR). 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.
Dividends
SPTS vs. USFR - Dividend Comparison
SPTS's dividend yield for the trailing twelve months is around 4.22%, less than USFR's 5.30% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SPTS SPDR Portfolio Short Term Treasury ETF | 4.22% | 3.61% | 1.26% | 0.20% | 0.71% | 2.21% | 2.04% | 1.20% | 0.95% | 0.83% | 0.68% | 0.43% |
USFR WisdomTree Bloomberg Floating Rate Treasury Fund | 5.30% | 5.12% | 1.78% | 0.01% | 0.40% | 2.08% | 1.67% | 1.04% | 0.29% | 0.00% | 0.00% | 0.00% |
Drawdowns
SPTS vs. USFR - Drawdown Comparison
The maximum SPTS drawdown since its inception was -5.83%, which is greater than USFR's maximum drawdown of -1.36%. Use the drawdown chart below to compare losses from any high point for SPTS and USFR. For additional features, visit the drawdowns tool.
Volatility
SPTS vs. USFR - Volatility Comparison
SPDR Portfolio Short Term Treasury ETF (SPTS) has a higher volatility of 0.37% compared to WisdomTree Bloomberg Floating Rate Treasury Fund (USFR) at 0.10%. This indicates that SPTS's price experiences larger fluctuations and is considered to be riskier than USFR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.