XTR vs. SGOV
XTR (Global X S&P 500 Tail Risk ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - XTR is a Equity Hedged fund tracking the Cboe S&P 500 Tail Risk Index, while SGOV is a Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. Both are passively managed. Over the past 3 years, XTR returned 17.07%/yr vs 4.71%/yr for SGOV. At a 0.01 correlation, their price movements are largely independent. XTR charges 0.25%/yr vs 0.09%/yr for SGOV.
Performance
XTR vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, XTR achieves a 7.89% return, which is significantly higher than SGOV's 1.69% return.
XTR
- 1D
- 0.97%
- 1M
- 0.79%
- YTD
- 7.89%
- 6M
- 8.08%
- 1Y
- 21.95%
- 3Y*
- 17.07%
- 5Y*
- —
- 10Y*
- —
SGOV
- 1D
- 0.04%
- 1M
- 0.31%
- YTD
- 1.69%
- 6M
- 1.79%
- 1Y
- 3.92%
- 3Y*
- 4.71%
- 5Y*
- 3.57%
- 10Y*
- —
XTR vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
XTR Global X S&P 500 Tail Risk ETF | 7.89% | 13.66% | 21.85% | 21.16% | -17.67% | 4.25% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.69% | 4.24% | 5.27% | 5.12% | 1.58% | 0.02% |
Correlation
The correlation between XTR and SGOV is -0.12, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.12 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.02 |
Correlation (All Time) Calculated using the full available price history since Aug 26, 2021 | 0.01 |
The correlation between XTR and SGOV shifts across timeframes, from -0.12 (1 year) to 0.01 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
XTR vs. SGOV — Risk / Return Rank
XTR
SGOV
XTR vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Global X S&P 500 Tail Risk ETF (XTR) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| XTR | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -18.46 | ||
| Sortino ratioReturn per unit of downside risk | -273.74 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 196.05 | -194.71 |
| Calmar ratioReturn relative to maximum drawdown | 2.57 | 399.24 | -396.67 |
| Martin ratioReturn relative to average drawdown | 10.64 | 4,473.64 | -4,463.01 |
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Drawdowns
XTR vs. SGOV - Drawdown Comparison
The maximum XTR drawdown since its inception was -20.83%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for XTR and SGOV.
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Drawdown Indicators
| XTR | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.83% | -0.03% | -20.80% |
Max Drawdown (1Y)Largest decline over 1 year | -8.51% | -0.01% | -8.50% |
Max Drawdown (3Y)Largest decline over 3 years | -14.35% | -0.01% | -14.34% |
Max Drawdown (5Y)Largest decline over 5 years | — | -0.03% | — |
Current DrawdownCurrent decline from peak | -1.35% | 0.00% | -1.35% |
Average DrawdownAverage peak-to-trough decline | -5.91% | -0.00% | -5.91% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.05% | 0.00% | +2.05% |
Volatility
XTR vs. SGOV - Volatility Comparison
Global X S&P 500 Tail Risk ETF (XTR) has a higher volatility of 4.63% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.06%. This indicates that XTR'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.
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Volatility by Period
| XTR | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.63% | 0.06% | +4.57% |
Volatility (6M)Calculated over the trailing 6-month period | 9.08% | 0.13% | +8.95% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.33% | 0.19% | +11.14% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.85% | 0.24% | +13.61% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.85% | 0.24% | +13.61% |
XTR vs. SGOV - Expense Ratio Comparison
XTR has a 0.25% expense ratio, which is higher than SGOV's 0.09% 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%.
Dividends
XTR vs. SGOV - Dividend Comparison
XTR's dividend yield for the trailing twelve months is around 16.52%, more than SGOV's 3.85% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
SGOV iShares 0-3 Month Treasury Bond ETF | 3.85% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% |
XTR Global X S&P 500 Tail Risk ETF | 16.52% | 17.82% | 20.89% | 1.09% | 1.08% | 2.32% | 0.00% |
Frequently Asked Questions
XTR and SGOV have a correlation of -0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
XTR has higher volatility (4.63%) compared to SGOV (0.06%). In terms of maximum drawdown, XTR dropped -20.83% vs SGOV's -0.03%.
On 3-year performance, XTR leads with 17.07% vs 4.71% for SGOV. On fees, SGOV is cheaper at 0.09% per year. On volatility, SGOV has been the lower-risk option at 0.06%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, XTR has performed better with a 17.07% return vs 4.71%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SGOV is cheaper with a 0.09% expense ratio, compared with 0.25% for XTR.
XTR has the higher dividend yield at 16.52%, compared with 3.85% for SGOV.
XTR is categorized as Equity Hedged, while SGOV is Ultrashort Bond. XTR tracks Cboe S&P 500 Tail Risk Index, while SGOV tracks ICE 0-3 Month US Treasury Securities Index. They also come from different issuers: Global X and iShares. Their fees differ too: 0.25% for XTR and 0.09% for SGOV.
SGOV currently has the higher Sharpe Ratio (20.39 vs 1.93), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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