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TBIL vs. ICSH
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

TBIL vs. ICSH - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in US Treasury 3 Month Bill ETF (TBIL) and iShares Ultra Short-Term Bond ETF (ICSH). The values are adjusted to include any dividend payments, if applicable.

0.00%0.50%1.00%1.50%2.00%2.50%3.00%JuneJulyAugustSeptemberOctoberNovember
2.44%
2.79%
TBIL
ICSH

Returns By Period

The year-to-date returns for both investments are quite close, with TBIL having a 4.80% return and ICSH slightly higher at 4.92%.


TBIL

YTD

4.80%

1M

0.36%

6M

2.51%

1Y

5.41%

5Y (annualized)

N/A

10Y (annualized)

N/A

ICSH

YTD

4.92%

1M

0.30%

6M

2.84%

1Y

5.78%

5Y (annualized)

2.68%

10Y (annualized)

2.40%

Key characteristics


TBILICSH
Sharpe Ratio14.5813.45
Sortino Ratio78.9936.73
Omega Ratio24.058.15
Calmar Ratio270.1083.66
Martin Ratio1,234.62503.81
Ulcer Index0.00%0.01%
Daily Std Dev0.37%0.43%
Max Drawdown-0.10%-3.94%
Current Drawdown0.00%-0.02%

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TBIL vs. ICSH - Expense Ratio Comparison

TBIL has a 0.15% expense ratio, which is higher than ICSH's 0.08% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


TBIL
US Treasury 3 Month Bill ETF
Expense ratio chart for TBIL: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for ICSH: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Correlation

-0.50.00.51.00.2

The correlation between TBIL and ICSH is 0.21, 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

TBIL vs. ICSH - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for US Treasury 3 Month Bill ETF (TBIL) and iShares Ultra Short-Term Bond ETF (ICSH). 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 TBIL, currently valued at 14.58, compared to the broader market0.002.004.0014.5813.45
The chart of Sortino ratio for TBIL, currently valued at 78.99, compared to the broader market-2.000.002.004.006.008.0010.0012.0078.9936.73
The chart of Omega ratio for TBIL, currently valued at 24.05, compared to the broader market0.501.001.502.002.503.0024.058.15
The chart of Calmar ratio for TBIL, currently valued at 270.10, compared to the broader market0.005.0010.0015.00270.1083.66
The chart of Martin ratio for TBIL, currently valued at 1234.62, compared to the broader market0.0020.0040.0060.0080.00100.001,234.62503.81
TBIL
ICSH

The current TBIL Sharpe Ratio is 14.58, which is comparable to the ICSH Sharpe Ratio of 13.45. The chart below compares the historical Sharpe Ratios of TBIL and ICSH, 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 Ratio12.0012.5013.0013.5014.0014.5015.0015.50JuneJulyAugustSeptemberOctoberNovember
14.58
13.45
TBIL
ICSH

Dividends

TBIL vs. ICSH - Dividend Comparison

TBIL's dividend yield for the trailing twelve months is around 5.38%, more than ICSH's 5.27% yield.


TTM2023202220212020201920182017201620152014
TBIL
US Treasury 3 Month Bill ETF
5.38%5.00%1.10%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ICSH
iShares Ultra Short-Term Bond ETF
5.27%4.78%1.66%0.42%1.22%2.60%2.19%1.36%0.88%0.54%0.46%

Drawdowns

TBIL vs. ICSH - Drawdown Comparison

The maximum TBIL drawdown since its inception was -0.10%, smaller than the maximum ICSH drawdown of -3.94%. Use the drawdown chart below to compare losses from any high point for TBIL and ICSH. For additional features, visit the drawdowns tool.


-0.06%-0.05%-0.04%-0.03%-0.02%-0.01%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.02%
TBIL
ICSH

Volatility

TBIL vs. ICSH - Volatility Comparison

The current volatility for US Treasury 3 Month Bill ETF (TBIL) is 0.10%, while iShares Ultra Short-Term Bond ETF (ICSH) has a volatility of 0.14%. This indicates that TBIL experiences smaller price fluctuations and is considered to be less risky than ICSH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.06%0.08%0.10%0.12%0.14%0.16%JuneJulyAugustSeptemberOctoberNovember
0.10%
0.14%
TBIL
ICSH