PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
STOT vs. SGOV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between STOT and SGOV is 0.12, 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

STOT vs. SGOV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR DoubleLine Short Duration Total Return Tactical ETF (STOT) and iShares 0-3 Month Treasury Bond ETF (SGOV). The values are adjusted to include any dividend payments, if applicable.

7.00%8.00%9.00%10.00%11.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
9.92%
12.41%
STOT
SGOV

Key characteristics

Sharpe Ratio

STOT:

3.59

SGOV:

21.91

Sortino Ratio

STOT:

5.61

SGOV:

513.09

Omega Ratio

STOT:

1.80

SGOV:

514.09

Calmar Ratio

STOT:

7.18

SGOV:

526.44

Martin Ratio

STOT:

26.20

SGOV:

8,356.97

Ulcer Index

STOT:

0.20%

SGOV:

0.00%

Daily Std Dev

STOT:

1.44%

SGOV:

0.24%

Max Drawdown

STOT:

-6.07%

SGOV:

-0.03%

Current Drawdown

STOT:

-0.23%

SGOV:

0.00%

Returns By Period

The year-to-date returns for both investments are quite close, with STOT having a 5.02% return and SGOV slightly higher at 5.18%.


STOT

YTD

5.02%

1M

0.37%

6M

2.91%

1Y

5.14%

5Y*

2.04%

10Y*

N/A

SGOV

YTD

5.18%

1M

0.38%

6M

2.54%

1Y

5.27%

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.


STOT vs. SGOV - Expense Ratio Comparison

STOT has a 0.45% expense ratio, which is higher than SGOV's 0.03% expense ratio.


STOT
SPDR DoubleLine Short Duration Total Return Tactical ETF
Expense ratio chart for STOT: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
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

STOT vs. SGOV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR DoubleLine Short Duration Total Return Tactical ETF (STOT) 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 STOT, currently valued at 3.59, compared to the broader market0.002.004.003.5921.91
The chart of Sortino ratio for STOT, currently valued at 5.61, compared to the broader market-2.000.002.004.006.008.0010.005.61513.09
The chart of Omega ratio for STOT, currently valued at 1.80, compared to the broader market0.501.001.502.002.503.001.80514.09
The chart of Calmar ratio for STOT, currently valued at 7.18, compared to the broader market0.005.0010.0015.007.18526.44
The chart of Martin ratio for STOT, currently valued at 26.20, compared to the broader market0.0020.0040.0060.0080.00100.0026.208,356.97
STOT
SGOV

The current STOT Sharpe Ratio is 3.59, which is lower than the SGOV Sharpe Ratio of 21.91. The chart below compares the historical Sharpe Ratios of STOT 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
3.59
21.91
STOT
SGOV

Dividends

STOT vs. SGOV - Dividend Comparison

STOT's dividend yield for the trailing twelve months is around 5.11%, which matches SGOV's 5.11% yield.


TTM20232022202120202019201820172016
STOT
SPDR DoubleLine Short Duration Total Return Tactical ETF
5.11%4.53%2.53%1.77%1.66%2.61%2.50%1.95%2.07%
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%

Drawdowns

STOT vs. SGOV - Drawdown Comparison

The maximum STOT drawdown since its inception was -6.07%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for STOT and SGOV. For additional features, visit the drawdowns tool.


-0.80%-0.60%-0.40%-0.20%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.23%
0
STOT
SGOV

Volatility

STOT vs. SGOV - Volatility Comparison

SPDR DoubleLine Short Duration Total Return Tactical ETF (STOT) has a higher volatility of 0.45% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.06%. This indicates that STOT'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.


0.10%0.20%0.30%0.40%0.50%0.60%JulyAugustSeptemberOctoberNovemberDecember
0.45%
0.06%
STOT
SGOV
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab