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

Performance

TBIL vs. SGOV - Performance Comparison

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

0.00%0.50%1.00%1.50%2.00%2.50%JuneJulyAugustSeptemberOctoberNovember
2.51%
2.55%
TBIL
SGOV

Returns By Period

The year-to-date returns for both stocks are quite close, with TBIL having a 4.88% return and SGOV slightly lower at 4.78%.


TBIL

YTD

4.88%

1M

0.40%

6M

2.50%

1Y

5.43%

5Y (annualized)

N/A

10Y (annualized)

N/A

SGOV

YTD

4.78%

1M

0.41%

6M

2.55%

1Y

5.34%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


TBILSGOV
Sharpe Ratio14.5821.75
Sortino Ratio78.70522.74
Omega Ratio23.96523.74
Calmar Ratio269.06536.49
Martin Ratio1,242.398,516.56
Ulcer Index0.00%0.00%
Daily Std Dev0.37%0.25%
Max Drawdown-0.10%-0.03%
Current Drawdown0.00%0.00%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


TBIL vs. SGOV - Expense Ratio Comparison

TBIL has a 0.15% expense ratio, which is higher than SGOV's 0.03% 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 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%

Correlation

-0.50.00.51.00.3

The correlation between TBIL and SGOV is 0.32, 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. SGOV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for US Treasury 3 Month Bill ETF (TBIL) 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 TBIL, currently valued at 14.58, compared to the broader market0.002.004.0014.5821.75
The chart of Sortino ratio for TBIL, currently valued at 78.70, compared to the broader market-2.000.002.004.006.008.0010.0012.0078.70522.74
The chart of Omega ratio for TBIL, currently valued at 23.96, compared to the broader market0.501.001.502.002.503.0023.96523.74
The chart of Calmar ratio for TBIL, currently valued at 269.06, compared to the broader market0.005.0010.0015.0020.00269.06536.49
The chart of Martin ratio for TBIL, currently valued at 1242.39, compared to the broader market0.0020.0040.0060.0080.00100.001,242.398,516.56
TBIL
SGOV

The current TBIL Sharpe Ratio is 14.58, which is lower than the SGOV Sharpe Ratio of 21.75. The chart below compares the historical Sharpe Ratios of TBIL 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 Ratio14.0016.0018.0020.0022.0024.00JuneJulyAugustSeptemberOctoberNovember
14.58
21.75
TBIL
SGOV

Dividends

TBIL vs. SGOV - Dividend Comparison

TBIL's dividend yield for the trailing twelve months is around 5.38%, more than SGOV's 5.23% yield.


TTM2023202220212020
TBIL
US Treasury 3 Month Bill ETF
5.38%5.00%1.10%0.00%0.00%
SGOV
iShares 0-3 Month Treasury Bond ETF
5.23%4.87%1.45%0.03%0.04%

Drawdowns

TBIL vs. SGOV - Drawdown Comparison

The maximum TBIL drawdown since its inception was -0.10%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for TBIL and SGOV. For additional features, visit the drawdowns tool.


-0.02%-0.02%-0.01%-0.01%0.00%JuneJulyAugustSeptemberOctoberNovember00
TBIL
SGOV

Volatility

TBIL vs. SGOV - Volatility Comparison

US Treasury 3 Month Bill ETF (TBIL) has a higher volatility of 0.10% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.08%. This indicates that TBIL'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.


0.06%0.07%0.08%0.09%0.10%0.11%0.12%JuneJulyAugustSeptemberOctoberNovember
0.10%
0.08%
TBIL
SGOV