ZVOL vs. SGOV

Last updated Jun 24, 2026

ZVOL (Volatility Premium Plus ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - ZVOL is a Volatility fund tracking the S&P 500 VIX Mid Term Futures Inverse Daily 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, ZVOL returned 8.01%/yr vs 4.68%/yr for SGOV. At a correlation of -0.03, they often move in opposite directions. ZVOL charges 1.35%/yr vs 0.09%/yr for SGOV.

Performance

ZVOL vs. SGOV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Volatility Premium Plus ETF (ZVOL) and iShares 0-3 Month Treasury Bond ETF (SGOV). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ZVOL achieves a 1.12% return, which is significantly lower than SGOV's 1.71% return.

ZVOL

• 1D: -0.37%
• 1M: 4.65%
• YTD: 1.12%
• 6M: -0.71%
• 1Y: 14.77%
• 3Y*: 8.01%
• 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)

ZVOL vs. SGOV - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
ZVOL Volatility Premium Plus ETF	1.12%	-10.71%	9.27%	51.85%
SGOV iShares 0-3 Month Treasury Bond ETF	1.71%	4.24%	5.27%	3.73%

Correlation

The correlation between ZVOL and SGOV is -0.06, 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	-0.06
Correlation (3Y) Calculated over the trailing 3-year period	-0.03
Correlation (All Time) Calculated using the full available price history since Apr 19, 2023	-0.03

Return for Risk

ZVOL vs. SGOV — Risk / Return Rank

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

ZVOL

ZVOL Risk / Return Rank: 23
ZVOL Sharpe Ratio Rank: 24
ZVOL Sortino Ratio Rank: 24
ZVOL Omega Ratio Rank: 23
ZVOL Calmar Ratio Rank: 21
ZVOL Martin Ratio Rank: 23

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.

ZVOL vs. SGOV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Volatility Premium Plus ETF (ZVOL) 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.

	ZVOL	SGOV	Difference
Sharpe ratio: Return per unit of total volatility	0.79	20.32	-19.53
Sortino ratio: Return per unit of downside risk	1.29	273.56	-272.27
Omega ratio: Gain probability vs. loss probability	1.15	194.05	-192.90
Calmar ratio: Return relative to maximum drawdown	0.90	395.07	-394.17
Martin ratio: Return relative to average drawdown	2.87	4,426.92	-4,424.05

ZVOL vs. SGOV - Sharpe Ratio Comparison

The current ZVOL Sharpe Ratio is 0.79, which is lower than the SGOV Sharpe Ratio of 20.32. The chart below compares the historical Sharpe Ratios of ZVOL 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

ZVOL vs. SGOV - Drawdown Comparison

The maximum ZVOL drawdown since its inception was -37.25%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for ZVOL and SGOV.

Drawdown Indicators

	ZVOL	SGOV	Difference
Max Drawdown Largest peak-to-trough decline	-37.25%	-0.03%	-37.22%
Max Drawdown (1Y) Largest decline over 1 year	-16.46%	-0.01%	-16.45%
Max Drawdown (3Y) Largest decline over 3 years	-37.25%	-0.01%	-37.24%
Max Drawdown (5Y) Largest decline over 5 years	—	-0.03%	—
Current Drawdown Current decline from peak	-19.46%	0.00%	-19.46%
Average Drawdown Average peak-to-trough decline	-13.53%	-0.00%	-13.53%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.15%	0.00%	+5.15%

Volatility

ZVOL vs. SGOV - Volatility Comparison

Volatility Premium Plus ETF (ZVOL) has a higher volatility of 4.20% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.06%. This indicates that ZVOL'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

	ZVOL	SGOV	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.20%	0.06%	+4.14%
Volatility (6M) Calculated over the trailing 6-month period	13.59%	0.13%	+13.46%
Volatility (1Y) Calculated over the trailing 1-year period	18.66%	0.19%	+18.47%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	29.08%	0.24%	+28.84%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	29.08%	0.24%	+28.84%

ZVOL vs. SGOV - Expense Ratio Comparison

ZVOL has a 1.35% expense ratio, which is higher than SGOV's 0.09% expense ratio.

Dividends

ZVOL vs. SGOV - Dividend Comparison

ZVOL's dividend yield for the trailing twelve months is around 79.01%, 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%
ZVOL Volatility Premium Plus ETF	79.01%	53.44%	30.68%	0.55%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both ZVOL and SGOV in my portfolio?

ZVOL and SGOV have a correlation of -0.06, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ZVOL or SGOV?

ZVOL has higher volatility (4.20%) compared to SGOV (0.06%). In terms of maximum drawdown, ZVOL dropped -37.25% vs SGOV's -0.03%.

Which ETF is better, ZVOL or SGOV?

On 3-year performance, ZVOL leads with 8.01% vs 4.68% 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, ZVOL or SGOV?

Over the 3-year period, ZVOL has performed better with a 8.01% return vs 4.68%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ZVOL or SGOV?

SGOV is cheaper with a 0.09% expense ratio, compared with 1.35% for ZVOL.

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

ZVOL has the higher dividend yield at 79.01%, compared with 3.85% for SGOV.

What is the main difference between ZVOL and SGOV?

ZVOL is categorized as Volatility, while SGOV is Ultrashort Bond. ZVOL tracks S&P 500 VIX Mid Term Futures Inverse Daily Index, while SGOV tracks ICE 0-3 Month US Treasury Securities Index. They also come from different issuers: Volatility Shares and iShares. Their fees differ too: 1.35% for ZVOL and 0.09% for SGOV.

Which has better risk-adjusted returns?

SGOV currently has the higher Sharpe Ratio (20.32 vs 0.79), 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.