Performance

BIL-0.07%SGOV+0.00%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
BIL	+0.04%	+0.10%	-0.07%	+0.01%	-0.53%	-4.37
SGOV	+0.04%	+0.10%	+0.00%	+0.10%	-0.44%	-4.45

Summary

BIL vs SGOV

Over the past year, SGOV returned +0.00% against -0.07% for BIL. Over five years, SGOV averaged +0.10% a year, compared with +0.01% for BIL. BIL had the higher Sharpe ratio over the past year (-4.37 vs -4.45), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -0.44% for SGOV and -0.53% for BIL.

Current Drawdown

BIL-0.27%SGOV-0.21%

Rolling Volatility

BIL+0.06%SGOV+0.06%

METRICS

Correlation Matrix

	BIL	SGOV
BIL	1.00	0.87
SGOV	0.87	1.00

Metrics

Risk Indicators

BILSGOV

Alpha

-4.47%

-4.40%

Beta

-0.01x

Sharpe

-4.37

-4.45

Sortino

-4.24

-4.31

Omega

0.16

0.14

Calmar

-0.12

0.00

Martin

-16.95

-21.63

Comparisons

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BIL vs BND
BIL vs SHY
BIL vs TIP
BIL vs IEF
BIL vs TLT

More SGOV comparisons

SGOV vs IEF
SGOV vs TLT
SGOV vs VCSH
SGOV vs AGG
SGOV vs BND
SGOV vs MUB

BIL vs SGOV: returns, Sharpe ratio and drawdown

BIL vs SGOV

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