VUSUX vs. SGOV
Compare and contrast key facts about Vanguard Long-Term Treasury Fund Admiral Shares (VUSUX) and iShares 0-3 Month Treasury Bond ETF (SGOV).
VUSUX is managed by Vanguard. It was launched on Feb 12, 2001. 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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VUSUX or SGOV.
Key characteristics
| VUSUX | SGOV | |
|---|---|---|
| YTD Return | -4.23% | 4.62% |
| 1Y Return | 8.21% | 5.38% |
| 3Y Return (Ann) | -11.11% | 3.78% |
| Sharpe Ratio | 0.59 | 21.93 |
| Sortino Ratio | 0.92 | 527.74 |
| Omega Ratio | 1.11 | 528.74 |
| Calmar Ratio | 0.17 | 541.76 |
| Martin Ratio | 1.55 | 8,600.11 |
| Ulcer Index | 5.20% | 0.00% |
| Daily Std Dev | 13.76% | 0.25% |
| Max Drawdown | -51.18% | -0.03% |
| Current Drawdown | -43.90% | 0.00% |
Correlation
The correlation between VUSUX and SGOV is 0.04, 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.
Performance
VUSUX vs. SGOV - Performance Comparison
In the year-to-date period, VUSUX achieves a -4.23% return, which is significantly lower than SGOV's 4.62% return. 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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VUSUX vs. SGOV - Expense Ratio Comparison
VUSUX has a 0.10% 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
VUSUX vs. SGOV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Long-Term Treasury Fund Admiral Shares (VUSUX) 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
VUSUX vs. SGOV - Dividend Comparison
VUSUX's dividend yield for the trailing twelve months is around 3.98%, less than SGOV's 5.24% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VUSUX Vanguard Long-Term Treasury Fund Admiral Shares | 3.98% | 3.42% | 3.03% | 1.97% | 2.10% | 2.63% | 2.92% | 2.74% | 2.96% | 2.99% | 2.96% | 3.53% |
SGOV iShares 0-3 Month Treasury Bond ETF | 5.24% | 4.87% | 1.45% | 0.03% | 0.04% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
VUSUX vs. SGOV - Drawdown Comparison
The maximum VUSUX drawdown since its inception was -51.18%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for VUSUX and SGOV. For additional features, visit the drawdowns tool.
Volatility
VUSUX vs. SGOV - Volatility Comparison
Vanguard Long-Term Treasury Fund Admiral Shares (VUSUX) has a higher volatility of 4.66% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.08%. This indicates that VUSUX'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.