TAIL vs. SGOV

Last updated Jun 14, 2026

TAIL (Cambria Tail Risk ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - TAIL is a Volatility Hedged Equity fund actively managed by Cambria, while SGOV is a Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. TAIL is actively managed, while SGOV is passively managed. Over the past 5 years, TAIL returned -8.40%/yr vs 3.56%/yr for SGOV. At a 0.02 correlation, their price movements are largely independent. TAIL charges 0.59%/yr vs 0.09%/yr for SGOV.

Performance

TAIL vs. SGOV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cambria Tail Risk ETF (TAIL) and iShares 0-3 Month Treasury Bond ETF (SGOV). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, TAIL achieves a -5.78% return, which is significantly lower than SGOV's 1.61% return.

TAIL

• 1D: -0.60%
• 1M: 0.14%
• YTD: -5.78%
• 6M: -6.25%
• 1Y: -8.88%
• 3Y*: -4.93%
• 5Y*: -8.40%
• 10Y*: —

SGOV

• 1D: 0.02%
• 1M: 0.26%
• YTD: 1.61%
• 6M: 1.78%
• 1Y: 3.91%
• 3Y*: 4.71%
• 5Y*: 3.56%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

TAIL vs. SGOV - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
TAIL Cambria Tail Risk ETF	-5.78%	5.48%	-9.62%	-13.29%	-13.13%	-12.81%	-7.23%
SGOV iShares 0-3 Month Treasury Bond ETF	1.61%	4.24%	5.27%	5.12%	1.58%	0.04%	0.04%

Correlation

The correlation between TAIL and SGOV is 0.04, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.04
Correlation (3Y) Calculated over the trailing 3-year period	-0.01
Correlation (5Y) Calculated over the trailing 5-year period	0.02
Correlation (All Time) Calculated using the full available price history since May 28, 2020	0.02

Return for Risk

TAIL vs. SGOV — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

TAIL

TAIL Risk / Return Rank: 2
TAIL Sharpe Ratio Rank: 2
TAIL Sortino Ratio Rank: 2
TAIL Omega Ratio Rank: 2
TAIL Calmar Ratio Rank: 3
TAIL Martin Ratio Rank: 0

SGOV

SGOV Risk / Return Rank: 100
SGOV Sharpe Ratio Rank: 100
SGOV Sortino Ratio Rank: 100
SGOV Omega Ratio Rank: 100
SGOV Calmar Ratio Rank: 100
SGOV Martin Ratio Rank: 100

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

TAIL vs. SGOV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Tail Risk ETF (TAIL) 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	TAIL	SGOV	Difference
Sharpe ratio: Return per unit of total volatility	-1.00	20.28	-21.28
Sortino ratio: Return per unit of downside risk	-1.43	275.69	-277.12
Omega ratio: Gain probability vs. loss probability	0.84	195.55	-194.71
Calmar ratio: Return relative to maximum drawdown	-0.78	398.20	-398.97
Martin ratio: Return relative to average drawdown	-1.82	4,461.98	-4,463.80

TAIL vs. SGOV - Sharpe Ratio Comparison

The current TAIL Sharpe Ratio is -1.00, which is lower than the SGOV Sharpe Ratio of 20.28. The chart below compares the historical Sharpe Ratios of TAIL and SGOV, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

TAIL vs. SGOV - Drawdown Comparison

The maximum TAIL drawdown since its inception was -52.36%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for TAIL and SGOV.

Drawdown Indicators

	TAIL	SGOV	Difference
Max Drawdown Largest peak-to-trough decline	-52.36%	-0.03%	-52.33%
Max Drawdown (1Y) Largest decline over 1 year	-10.99%	-0.01%	-10.98%
Max Drawdown (3Y) Largest decline over 3 years	-20.69%	-0.01%	-20.68%
Max Drawdown (5Y) Largest decline over 5 years	-38.44%	-0.03%	-38.41%
Current Drawdown Current decline from peak	-51.35%	0.00%	-51.35%
Average Drawdown Average peak-to-trough decline	-29.18%	-0.00%	-29.18%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.68%	0.00%	+4.68%

Volatility

TAIL vs. SGOV - Volatility Comparison

Cambria Tail Risk ETF (TAIL) has a higher volatility of 1.51% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that TAIL'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.

Volatility by Period

	TAIL	SGOV	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.51%	0.05%	+1.46%
Volatility (6M) Calculated over the trailing 6-month period	6.56%	0.13%	+6.43%
Volatility (1Y) Calculated over the trailing 1-year period	8.51%	0.20%	+8.31%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.91%	0.24%	+14.67%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.92%	0.24%	+14.68%

TAIL vs. SGOV - Expense Ratio Comparison

TAIL has a 0.59% expense ratio, which is higher than SGOV's 0.09% expense ratio.

Dividends

TAIL vs. SGOV - Dividend Comparison

TAIL's dividend yield for the trailing twelve months is around 3.48%, less than SGOV's 3.85% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
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%
TAIL Cambria Tail Risk ETF	3.48%	2.88%	3.48%	3.74%	1.50%	0.49%	0.36%	1.58%	1.52%	0.91%

Frequently Asked Questions

Can I hold both TAIL and SGOV in my portfolio?

TAIL and SGOV have a correlation of 0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, TAIL or SGOV?

TAIL has higher volatility (1.51%) compared to SGOV (0.05%). In terms of maximum drawdown, TAIL dropped -52.36% vs SGOV's -0.03%.

Which ETF is better, TAIL or SGOV?

On 5-year performance, SGOV leads with 3.56% vs -8.40% for TAIL. On fees, SGOV is cheaper at 0.09% per year. On volatility, SGOV has been the lower-risk option at 0.05%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, TAIL or SGOV?

Over the 5-year period, SGOV has performed better with a 3.56% return vs -8.40%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, TAIL or SGOV?

SGOV is cheaper with a 0.09% expense ratio, compared with 0.59% for TAIL.

Which ETF pays a higher dividend yield, TAIL or SGOV?

SGOV has the higher dividend yield at 3.85%, compared with 3.48% for TAIL.

What is the main difference between TAIL and SGOV?

TAIL is categorized as Volatility Hedged Equity, while SGOV is Ultrashort Bond. They also come from different issuers: Cambria and iShares. Their fees differ too: 0.59% for TAIL and 0.09% for SGOV.

Which has better risk-adjusted returns?

SGOV currently has the higher Sharpe Ratio (20.28 vs -1.00), 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.