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

Key characteristics


XBILGOVT
YTD Return4.48%1.44%
1Y Return5.30%6.78%
Sharpe Ratio13.891.07
Sortino Ratio61.871.57
Omega Ratio16.151.19
Calmar Ratio76.400.35
Martin Ratio752.813.51
Ulcer Index0.01%1.71%
Daily Std Dev0.39%5.60%
Max Drawdown-0.08%-19.07%
Current Drawdown0.00%-11.75%

Correlation

-0.50.00.51.00.3

The correlation between XBIL and GOVT is 0.31, 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

XBIL vs. GOVT - Performance Comparison

In the year-to-date period, XBIL achieves a 4.48% return, which is significantly higher than GOVT's 1.44% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
2.72%
3.59%
XBIL
GOVT

Compare stocks, funds, or ETFs

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


XBIL vs. GOVT - Expense Ratio Comparison

Both XBIL and GOVT 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%.


XBIL
US Treasury 6 Month Bill ETF
Expense ratio chart for XBIL: 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 GOVT: 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%

Risk-Adjusted Performance

XBIL vs. GOVT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for US Treasury 6 Month Bill ETF (XBIL) and iShares U.S. Treasury Bond ETF (GOVT). 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.


XBIL
Sharpe ratio
The chart of Sharpe ratio for XBIL, currently valued at 13.89, compared to the broader market-2.000.002.004.006.0013.89
Sortino ratio
The chart of Sortino ratio for XBIL, currently valued at 61.87, compared to the broader market-2.000.002.004.006.008.0010.0012.0061.87
Omega ratio
The chart of Omega ratio for XBIL, currently valued at 16.15, compared to the broader market1.001.502.002.503.0016.15
Calmar ratio
The chart of Calmar ratio for XBIL, currently valued at 76.40, compared to the broader market0.005.0010.0015.0076.40
Martin ratio
The chart of Martin ratio for XBIL, currently valued at 752.81, compared to the broader market0.0020.0040.0060.0080.00100.00752.81
GOVT
Sharpe ratio
The chart of Sharpe ratio for GOVT, currently valued at 1.07, compared to the broader market-2.000.002.004.006.001.07
Sortino ratio
The chart of Sortino ratio for GOVT, currently valued at 1.57, compared to the broader market-2.000.002.004.006.008.0010.0012.001.57
Omega ratio
The chart of Omega ratio for GOVT, currently valued at 1.19, compared to the broader market1.001.502.002.503.001.19
Calmar ratio
The chart of Calmar ratio for GOVT, currently valued at 1.16, compared to the broader market0.005.0010.0015.001.16
Martin ratio
The chart of Martin ratio for GOVT, currently valued at 3.51, compared to the broader market0.0020.0040.0060.0080.00100.003.51

XBIL vs. GOVT - Sharpe Ratio Comparison

The current XBIL Sharpe Ratio is 13.89, which is higher than the GOVT Sharpe Ratio of 1.07. The chart below compares the historical Sharpe Ratios of XBIL and GOVT, 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 Ratio0.005.0010.0015.00JuneJulyAugustSeptemberOctoberNovember
13.89
1.07
XBIL
GOVT

Dividends

XBIL vs. GOVT - Dividend Comparison

XBIL's dividend yield for the trailing twelve months is around 5.06%, more than GOVT's 3.12% yield.


TTM20232022202120202019201820172016201520142013
XBIL
US Treasury 6 Month Bill ETF
5.06%4.30%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
GOVT
iShares U.S. Treasury Bond ETF
3.12%2.66%1.76%0.96%2.17%1.98%1.97%1.57%1.40%1.25%1.17%0.94%

Drawdowns

XBIL vs. GOVT - Drawdown Comparison

The maximum XBIL drawdown since its inception was -0.08%, smaller than the maximum GOVT drawdown of -19.07%. Use the drawdown chart below to compare losses from any high point for XBIL and GOVT. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-3.22%
XBIL
GOVT

Volatility

XBIL vs. GOVT - Volatility Comparison

The current volatility for US Treasury 6 Month Bill ETF (XBIL) is 0.13%, while iShares U.S. Treasury Bond ETF (GOVT) has a volatility of 1.50%. This indicates that XBIL experiences smaller price fluctuations and is considered to be less risky than GOVT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
0.13%
1.50%
XBIL
GOVT