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

Performance

TBIL vs. USFR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in US Treasury 3 Month Bill ETF (TBIL) and WisdomTree Bloomberg Floating Rate Treasury Fund (USFR). The values are adjusted to include any dividend payments, if applicable.

0.00%0.50%1.00%1.50%2.00%2.50%JuneJulyAugustSeptemberOctoberNovember
2.52%
2.48%
TBIL
USFR

Returns By Period

The year-to-date returns for both investments are quite close, with TBIL having a 4.80% return and USFR slightly higher at 4.83%.


TBIL

YTD

4.80%

1M

0.36%

6M

2.52%

1Y

5.45%

5Y (annualized)

N/A

10Y (annualized)

N/A

USFR

YTD

4.83%

1M

0.45%

6M

2.48%

1Y

5.34%

5Y (annualized)

2.52%

10Y (annualized)

2.42%

Key characteristics


TBILUSFR
Sharpe Ratio14.4615.25
Sortino Ratio75.4855.87
Omega Ratio22.1413.90
Calmar Ratio269.0689.99
Martin Ratio1,229.88766.69
Ulcer Index0.00%0.01%
Daily Std Dev0.38%0.35%
Max Drawdown-0.10%-1.36%
Current Drawdown0.00%0.00%

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TBIL vs. USFR - Expense Ratio Comparison

Both TBIL and USFR have an expense ratio of 0.15%, making them cost-effective options compared to the broader market, where average expense ratios typically 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 USFR: 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%

Correlation

-0.50.00.51.00.2

The correlation between TBIL and USFR is 0.24, 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. USFR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for US Treasury 3 Month Bill ETF (TBIL) and WisdomTree Bloomberg Floating Rate Treasury Fund (USFR). 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 14.46, compared to the broader market0.002.004.006.0014.4615.25
The chart of Sortino ratio for TBIL, currently valued at 75.48, compared to the broader market-2.000.002.004.006.008.0010.0012.0075.4855.87
The chart of Omega ratio for TBIL, currently valued at 22.14, compared to the broader market0.501.001.502.002.503.0022.1413.90
The chart of Calmar ratio for TBIL, currently valued at 269.06, compared to the broader market0.005.0010.0015.00269.0689.99
The chart of Martin ratio for TBIL, currently valued at 1229.88, compared to the broader market0.0020.0040.0060.0080.00100.00120.001,229.88766.69
TBIL
USFR

The current TBIL Sharpe Ratio is 14.46, which is comparable to the USFR Sharpe Ratio of 15.25. The chart below compares the historical Sharpe Ratios of TBIL and USFR, 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 Ratio14.5015.0015.5016.0016.50JuneJulyAugustSeptemberOctoberNovember
14.46
15.25
TBIL
USFR

Dividends

TBIL vs. USFR - Dividend Comparison

TBIL's dividend yield for the trailing twelve months is around 5.38%, more than USFR's 5.30% yield.


TTM20232022202120202019201820172016
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%
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund
5.30%5.12%1.78%0.01%0.40%2.08%1.67%1.04%0.29%

Drawdowns

TBIL vs. USFR - Drawdown Comparison

The maximum TBIL drawdown since its inception was -0.10%, smaller than the maximum USFR drawdown of -1.36%. Use the drawdown chart below to compare losses from any high point for TBIL and USFR. For additional features, visit the drawdowns tool.


-0.06%-0.05%-0.04%-0.03%-0.02%-0.01%0.00%JuneJulyAugustSeptemberOctoberNovember00
TBIL
USFR

Volatility

TBIL vs. USFR - Volatility Comparison

US Treasury 3 Month Bill ETF (TBIL) has a higher volatility of 0.10% compared to WisdomTree Bloomberg Floating Rate Treasury Fund (USFR) at 0.09%. This indicates that TBIL's price experiences larger fluctuations and is considered to be riskier than USFR 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%JuneJulyAugustSeptemberOctoberNovember
0.10%
0.09%
TBIL
USFR