TBLL vs. SGOV
Compare and contrast key facts about Invesco Short Term Treasury ETF (TBLL) and iShares 0-3 Month Treasury Bond ETF (SGOV).
TBLL and SGOV are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. TBLL is a passively managed fund by Invesco that tracks the performance of the ICE U.S. Treasury Short Bond Index. It was launched on Jan 10, 2017. 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. Both TBLL and SGOV are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: TBLL or SGOV.
Key characteristics
| TBLL | SGOV | |
|---|---|---|
| YTD Return | 4.42% | 4.62% |
| 1Y Return | 5.25% | 5.38% |
| 3Y Return (Ann) | 3.51% | 3.78% |
| Sharpe Ratio | 9.41 | 21.93 |
| Sortino Ratio | 19.73 | 527.74 |
| Omega Ratio | 6.42 | 528.74 |
| Calmar Ratio | 29.98 | 541.76 |
| Martin Ratio | 287.99 | 8,600.11 |
| Ulcer Index | 0.02% | 0.00% |
| Daily Std Dev | 0.56% | 0.25% |
| Max Drawdown | -0.61% | -0.03% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between TBLL and SGOV is 0.45, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
TBLL vs. SGOV - Performance Comparison
The year-to-date returns for both investments are quite close, with TBLL having a 4.42% return and SGOV slightly higher at 4.62%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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TBLL vs. SGOV - Expense Ratio Comparison
TBLL has a 0.08% 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%.
Risk-Adjusted Performance
TBLL vs. SGOV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Short Term Treasury ETF (TBLL) 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
TBLL vs. SGOV - Dividend Comparison
TBLL's dividend yield for the trailing twelve months is around 5.15%, less than SGOV's 5.24% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
TBLL Invesco Short Term Treasury ETF | 5.15% | 4.63% | 1.37% | 0.05% | 0.80% | 2.24% | 1.69% | 0.71% |
SGOV iShares 0-3 Month Treasury Bond ETF | 5.24% | 4.87% | 1.45% | 0.03% | 0.04% | 0.00% | 0.00% | 0.00% |
Drawdowns
TBLL vs. SGOV - Drawdown Comparison
The maximum TBLL drawdown since its inception was -0.61%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for TBLL and SGOV. For additional features, visit the drawdowns tool.
Volatility
TBLL vs. SGOV - Volatility Comparison
Invesco Short Term Treasury ETF (TBLL) has a higher volatility of 0.09% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.08%. This indicates that TBLL'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.