ZJUN vs. SGOV

Last updated Jun 24, 2026

ZJUN (Innovator Equity Defined Protection ETF - 1 Yr June) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - ZJUN is a Defined Outcome fund actively managed by Innovator, while SGOV is a Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. ZJUN is actively managed, while SGOV is passively managed. Over the past year, ZJUN returned 5.27% vs 3.92% for SGOV. At a correlation of -0.03, they often move in opposite directions. ZJUN charges 0.79%/yr vs 0.09%/yr for SGOV.

Performance

ZJUN vs. SGOV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Innovator Equity Defined Protection ETF - 1 Yr June (ZJUN) and iShares 0-3 Month Treasury Bond ETF (SGOV). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with ZJUN having a 1.66% return and SGOV slightly higher at 1.71%.

ZJUN

• 1D: -0.24%
• 1M: -0.40%
• YTD: 1.66%
• 6M: 1.72%
• 1Y: 5.27%
• 3Y*: —
• 5Y*: —
• 10Y*: —

SGOV

• 1D: 0.01%
• 1M: 0.28%
• YTD: 1.71%
• 6M: 1.80%
• 1Y: 3.92%
• 3Y*: 4.68%
• 5Y*: 3.58%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

ZJUN vs. SGOV - Yearly Performance Comparison

	2026 (YTD)	2025
ZJUN Innovator Equity Defined Protection ETF - 1 Yr June	1.66%	4.15%
SGOV iShares 0-3 Month Treasury Bond ETF	1.71%	2.44%

Correlation

The correlation between ZJUN and SGOV is -0.03, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.03
Correlation (All Time) Calculated using the full available price history since Jun 2, 2025	-0.03

Return for Risk

ZJUN vs. SGOV — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ZJUN

ZJUN Risk / Return Rank: 91
ZJUN Sharpe Ratio Rank: 87
ZJUN Sortino Ratio Rank: 92
ZJUN Omega Ratio Rank: 93
ZJUN Calmar Ratio Rank: 89
ZJUN Martin Ratio Rank: 94

SGOV

SGOV Risk / Return Rank: 100
SGOV Sharpe Ratio Rank: 100
SGOV Sortino Ratio Rank: 100
SGOV Omega Ratio Rank: 100
SGOV Calmar Ratio Rank: 100
SGOV Martin Ratio Rank: 100

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ZJUN vs. SGOV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Innovator Equity Defined Protection ETF - 1 Yr June (ZJUN) 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.

	ZJUN	SGOV	Difference
Sharpe ratio: Return per unit of total volatility	2.58	20.32	-17.74
Sortino ratio: Return per unit of downside risk	3.97	273.56	-269.59
Omega ratio: Gain probability vs. loss probability	1.59	194.05	-192.47
Calmar ratio: Return relative to maximum drawdown	4.92	395.07	-390.15
Martin ratio: Return relative to average drawdown	25.50	4,426.92	-4,401.42

ZJUN vs. SGOV - Sharpe Ratio Comparison

The current ZJUN Sharpe Ratio is 2.58, which is lower than the SGOV Sharpe Ratio of 20.32. The chart below compares the historical Sharpe Ratios of ZJUN and SGOV, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

ZJUN vs. SGOV - Drawdown Comparison

The maximum ZJUN drawdown since its inception was -1.08%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for ZJUN and SGOV.

Drawdown Indicators

	ZJUN	SGOV	Difference
Max Drawdown Largest peak-to-trough decline	-1.08%	-0.03%	-1.05%
Max Drawdown (1Y) Largest decline over 1 year	-1.08%	-0.01%	-1.07%
Max Drawdown (3Y) Largest decline over 3 years	—	-0.01%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-0.03%	—
Current Drawdown Current decline from peak	-0.75%	0.00%	-0.75%
Average Drawdown Average peak-to-trough decline	-0.10%	-0.00%	-0.10%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.21%	0.00%	+0.21%

Volatility

ZJUN vs. SGOV - Volatility Comparison

Innovator Equity Defined Protection ETF - 1 Yr June (ZJUN) has a higher volatility of 1.03% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.06%. This indicates that ZJUN'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.

Volatility by Period

	ZJUN	SGOV	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.03%	0.06%	+0.97%
Volatility (6M) Calculated over the trailing 6-month period	1.74%	0.13%	+1.61%
Volatility (1Y) Calculated over the trailing 1-year period	2.05%	0.19%	+1.86%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	2.04%	0.24%	+1.80%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	2.04%	0.24%	+1.80%

ZJUN vs. SGOV - Expense Ratio Comparison

ZJUN has a 0.79% expense ratio, which is higher than SGOV's 0.09% expense ratio.

Dividends

ZJUN vs. SGOV - Dividend Comparison

ZJUN has not paid dividends to shareholders, while SGOV's dividend yield for the trailing twelve months is around 3.85%.

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%
ZJUN Innovator Equity Defined Protection ETF - 1 Yr June	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both ZJUN and SGOV in my portfolio?

ZJUN and SGOV have a correlation of -0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ZJUN or SGOV?

ZJUN has higher volatility (1.03%) compared to SGOV (0.06%). In terms of maximum drawdown, ZJUN dropped -1.08% vs SGOV's -0.03%.

Which ETF is better, ZJUN or SGOV?

On 1-year performance, ZJUN leads with 5.27% vs 3.92% 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.

Which ETF has performed better, ZJUN or SGOV?

Over the 1-year period, ZJUN has performed better with a 5.27% return vs 3.92%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ZJUN or SGOV?

SGOV is cheaper with a 0.09% expense ratio, compared with 0.79% for ZJUN.

Which ETF pays a higher dividend yield, ZJUN or SGOV?

SGOV has the higher dividend yield at 3.85%, compared with 0.00% for ZJUN.

What is the main difference between ZJUN and SGOV?

ZJUN is categorized as Defined Outcome, while SGOV is Ultrashort Bond. They also come from different issuers: Innovator and iShares. Their fees differ too: 0.79% for ZJUN and 0.09% for SGOV.

Which has better risk-adjusted returns?

SGOV currently has the higher Sharpe Ratio (20.32 vs 2.58), 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.