ZTWO vs. VGSH
ZTWO (F/M 2-Year Investment Grade Corporate Bond ETF) and VGSH (Vanguard Short-Term Treasury ETF) are both exchange-traded funds - ZTWO is a Short-Term Bond fund tracking the ICE 2-Year US Target Maturity Corporate Index - Benchmark TR Gross, while VGSH is a Government Bonds fund tracking the Bloomberg U.S. Treasury 1-3 Year Index. Both are passively managed. Over the past year, ZTWO returned 3.90% vs 3.31% for VGSH. Their correlation of 0.83 suggests significant overlap in exposure. ZTWO charges 0.15%/yr vs 0.03%/yr for VGSH.
Performance
ZTWO vs. VGSH - Performance Comparison
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Returns By Period
In the year-to-date period, ZTWO achieves a 0.99% return, which is significantly higher than VGSH's 0.57% return.
ZTWO
- 1D
- -0.08%
- 1M
- 0.29%
- YTD
- 0.99%
- 6M
- 1.31%
- 1Y
- 3.90%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
VGSH
- 1D
- -0.03%
- 1M
- 0.13%
- YTD
- 0.57%
- 6M
- 0.83%
- 1Y
- 3.31%
- 3Y*
- 4.25%
- 5Y*
- 1.83%
- 10Y*
- 1.73%
ZTWO vs. VGSH - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
ZTWO F/M 2-Year Investment Grade Corporate Bond ETF | 0.99% | 5.49% | 0.36% |
VGSH Vanguard Short-Term Treasury ETF | 0.57% | 5.07% | 0.35% |
Correlation
The correlation between ZTWO and VGSH is 0.84, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.84 |
Correlation (All Time) Calculated using the full available price history since Dec 19, 2024 | 0.83 |
The correlation between ZTWO and VGSH has been stable across timeframes, ranging from 0.83 to 0.84 - a consistent structural relationship.
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Return for Risk
ZTWO vs. VGSH — Risk / Return Rank
ZTWO
VGSH
ZTWO vs. VGSH - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for F/M 2-Year Investment Grade Corporate Bond ETF (ZTWO) and Vanguard Short-Term Treasury ETF (VGSH). 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.
| ZTWO | VGSH | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.36 | ||
| Sortino ratioReturn per unit of downside risk | +0.49 | ||
| Omega ratioGain probability vs. loss probability | 1.61 | 1.55 | +0.06 |
| Calmar ratioReturn relative to maximum drawdown | 4.19 | 3.76 | +0.43 |
| Martin ratioReturn relative to average drawdown | 19.82 | 14.67 | +5.15 |
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Drawdowns
ZTWO vs. VGSH - Drawdown Comparison
The maximum ZTWO drawdown since its inception was -0.93%, smaller than the maximum VGSH drawdown of -5.70%. Use the drawdown chart below to compare losses from any high point for ZTWO and VGSH.
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Drawdown Indicators
| ZTWO | VGSH | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -0.93% | -5.70% | +4.77% |
Max Drawdown (1Y)Largest decline over 1 year | -0.93% | -0.88% | -0.05% |
Max Drawdown (3Y)Largest decline over 3 years | — | -0.97% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -5.66% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -5.70% | — |
Current DrawdownCurrent decline from peak | -0.08% | -0.21% | +0.13% |
Average DrawdownAverage peak-to-trough decline | -0.10% | -0.60% | +0.50% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.20% | 0.23% | -0.03% |
Volatility
ZTWO vs. VGSH - Volatility Comparison
F/M 2-Year Investment Grade Corporate Bond ETF (ZTWO) has a higher volatility of 0.44% compared to Vanguard Short-Term Treasury ETF (VGSH) at 0.37%. This indicates that ZTWO's price experiences larger fluctuations and is considered to be riskier than VGSH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ZTWO | VGSH | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.44% | 0.37% | +0.07% |
Volatility (6M)Calculated over the trailing 6-month period | 0.99% | 0.90% | +0.09% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.32% | 1.28% | +0.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 1.49% | 1.97% | -0.48% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 1.49% | 1.58% | -0.09% |
ZTWO vs. VGSH - Expense Ratio Comparison
ZTWO has a 0.15% expense ratio, which is higher than VGSH'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%.
Dividends
ZTWO vs. VGSH - Dividend Comparison
ZTWO's dividend yield for the trailing twelve months is around 4.11%, more than VGSH's 3.87% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VGSH Vanguard Short-Term Treasury ETF | 3.87% | 4.00% | 4.18% | 3.31% | 1.15% | 0.66% | 1.74% | 2.28% | 1.79% | 1.10% | 0.84% | 0.69% |
ZTWO F/M 2-Year Investment Grade Corporate Bond ETF | 4.11% | 4.31% | 0.39% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
ZTWO and VGSH have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ZTWO has higher volatility (0.44%) compared to VGSH (0.37%). In terms of maximum drawdown, ZTWO dropped -0.93% vs VGSH's -5.70%.
On 1-year performance, ZTWO leads with 3.90% vs 3.31% for VGSH. On fees, VGSH is cheaper at 0.03% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, ZTWO has performed better with a 3.90% return vs 3.31%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VGSH is cheaper with a 0.03% expense ratio, compared with 0.15% for ZTWO.
ZTWO has the higher dividend yield at 4.11%, compared with 3.87% for VGSH.
ZTWO is categorized as Short-Term Bond, while VGSH is Government Bonds. ZTWO tracks ICE 2-Year US Target Maturity Corporate Index - Benchmark TR Gross, while VGSH tracks Bloomberg U.S. Treasury 1-3 Year Index. They also come from different issuers: F/m and Vanguard. Their fees differ too: 0.15% for ZTWO and 0.03% for VGSH.
ZTWO currently has the higher Sharpe Ratio (2.97 vs 2.61), 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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