CMF vs. SGOV
CMF (iShares California Muni Bond ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - CMF is a Municipal Bonds fund tracking the S&P California AMT-Free Municipal Bond 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 5 years, CMF returned 0.75%/yr vs 3.58%/yr for SGOV. At a 0.03 correlation, their price movements are largely independent. CMF charges 0.25%/yr vs 0.09%/yr for SGOV.
Performance
CMF vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, CMF achieves a 1.28% return, which is significantly lower than SGOV's 1.70% return.
CMF
- 1D
- -0.02%
- 1M
- 1.39%
- YTD
- 1.28%
- 6M
- 1.51%
- 1Y
- 6.61%
- 3Y*
- 3.14%
- 5Y*
- 0.75%
- 10Y*
- 1.66%
SGOV
- 1D
- 0.01%
- 1M
- 0.27%
- YTD
- 1.70%
- 6M
- 1.80%
- 1Y
- 3.93%
- 3Y*
- 4.68%
- 5Y*
- 3.58%
- 10Y*
- —
CMF vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
CMF iShares California Muni Bond ETF | 1.28% | 3.36% | 1.65% | 5.71% | -8.27% | 0.78% | 2.10% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.70% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
Correlation
The correlation between CMF and SGOV is -0.14, 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 | -0.14 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.00 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.04 |
Correlation (All Time) Calculated using the full available price history since May 28, 2020 | 0.03 |
The correlation between CMF and SGOV shifts across timeframes, from -0.14 (1 year) to 0.04 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
CMF vs. SGOV — Risk / Return Rank
CMF
SGOV
CMF vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares California Muni Bond ETF (CMF) 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.
| CMF | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -17.98 | ||
| Sortino ratioReturn per unit of downside risk | -270.83 | ||
| Omega ratioGain probability vs. loss probability | 1.54 | 194.55 | -193.01 |
| Calmar ratioReturn relative to maximum drawdown | 2.28 | 396.11 | -393.83 |
| Martin ratioReturn relative to average drawdown | 7.50 | 4,438.60 | -4,431.10 |
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Drawdowns
CMF vs. SGOV - Drawdown Comparison
The maximum CMF drawdown since its inception was -16.45%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for CMF and SGOV.
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Drawdown Indicators
| CMF | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -16.45% | -0.03% | -16.42% |
Max Drawdown (1Y)Largest decline over 1 year | -2.91% | -0.01% | -2.90% |
Max Drawdown (3Y)Largest decline over 3 years | -5.22% | -0.01% | -5.21% |
Max Drawdown (5Y)Largest decline over 5 years | -12.45% | -0.03% | -12.42% |
Max Drawdown (10Y)Largest decline over 10 years | -14.57% | — | — |
Current DrawdownCurrent decline from peak | -0.61% | 0.00% | -0.61% |
Average DrawdownAverage peak-to-trough decline | -4.76% | -0.00% | -4.76% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.88% | 0.00% | +0.88% |
Volatility
CMF vs. SGOV - Volatility Comparison
iShares California Muni Bond ETF (CMF) has a higher volatility of 0.71% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.06%. This indicates that CMF'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
| CMF | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.71% | 0.06% | +0.65% |
Volatility (6M)Calculated over the trailing 6-month period | 2.17% | 0.13% | +2.04% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.77% | 0.19% | +2.58% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.19% | 0.24% | +3.95% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.08% | 0.24% | +4.84% |
CMF vs. SGOV - Expense Ratio Comparison
CMF 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
CMF vs. SGOV - Dividend Comparison
CMF's dividend yield for the trailing twelve months is around 2.94%, less than SGOV's 3.85% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CMF iShares California Muni Bond ETF | 2.94% | 2.94% | 2.78% | 2.29% | 1.91% | 1.58% | 1.80% | 2.03% | 2.17% | 2.09% | 2.21% | 2.55% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.85% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
CMF and SGOV have a correlation of -0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CMF has higher volatility (0.71%) compared to SGOV (0.06%). In terms of maximum drawdown, CMF dropped -16.45% vs SGOV's -0.03%.
On 5-year performance, SGOV leads with 3.58% vs 0.75% for CMF. 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 5-year period, SGOV has performed better with a 3.58% return vs 0.75%. 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 CMF.
SGOV has the higher dividend yield at 3.85%, compared with 2.94% for CMF.
CMF is categorized as Municipal Bonds, while SGOV is Ultrashort Bond. CMF tracks S&P California AMT-Free Municipal Bond Index, while SGOV tracks ICE 0-3 Month US Treasury Securities Index. Their fees differ too: 0.25% for CMF and 0.09% for SGOV.
SGOV currently has the higher Sharpe Ratio (20.38 vs 2.40), 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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