STOT vs. SGOV
Compare and contrast key facts about SPDR DoubleLine Short Duration Total Return Tactical ETF (STOT) and iShares 0-3 Month Treasury Bond ETF (SGOV).
STOT and SGOV are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. STOT is an actively managed fund by State Street. It was launched on Apr 13, 2016. SGOV is a passively managed fund by iShares that tracks the performance of the ICE 0-3 Month US Treasury Bill Index. It was launched on May 26, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: STOT or SGOV.
Performance
STOT vs. SGOV - Performance Comparison
Returns By Period
The year-to-date returns for both investments are quite close, with STOT having a 4.63% return and SGOV slightly higher at 4.78%.
STOT
4.63%
0.21%
3.10%
6.21%
1.95%
N/A
SGOV
4.78%
0.41%
2.55%
5.34%
N/A
N/A
Key characteristics
| STOT | SGOV | |
|---|---|---|
| Sharpe Ratio | 4.22 | 21.75 |
| Sortino Ratio | 6.84 | 522.74 |
| Omega Ratio | 1.99 | 523.74 |
| Calmar Ratio | 8.64 | 536.49 |
| Martin Ratio | 32.12 | 8,516.56 |
| Ulcer Index | 0.19% | 0.00% |
| Daily Std Dev | 1.47% | 0.25% |
| Max Drawdown | -6.07% | -0.03% |
| Current Drawdown | -0.29% | 0.00% |
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STOT vs. SGOV - Expense Ratio Comparison
STOT has a 0.45% expense ratio, which is higher than SGOV's 0.03% expense ratio.
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.
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.
Dividends
STOT vs. SGOV - Dividend Comparison
STOT's dividend yield for the trailing twelve months is around 5.07%, less than SGOV's 5.23% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|
STOT SPDR DoubleLine Short Duration Total Return Tactical ETF | 5.07% | 4.53% | 2.53% | 1.77% | 1.66% | 2.61% | 2.50% | 1.95% | 2.07% |
SGOV iShares 0-3 Month Treasury Bond ETF | 5.23% | 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.
Volatility
STOT vs. SGOV - Volatility Comparison
SPDR DoubleLine Short Duration Total Return Tactical ETF (STOT) has a higher volatility of 0.44% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.08%. 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.