COP vs. SGOV
COP (ConocoPhillips Company) is a stock, while SGOV (iShares 0-3 Month Treasury Bond ETF) is Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. Over the past 5 years, COP returned 18.49%/yr vs 3.56%/yr for SGOV. At a correlation of -0.02, they often move in opposite directions.
Performance
COP vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, COP achieves a 26.87% return, which is significantly higher than SGOV's 1.61% return.
COP
- 1D
- 1.40%
- 1M
- -0.36%
- YTD
- 26.87%
- 6M
- 24.31%
- 1Y
- 27.63%
- 3Y*
- 7.68%
- 5Y*
- 18.49%
- 10Y*
- 13.66%
SGOV
- 1D
- 0.02%
- 1M
- 0.30%
- YTD
- 1.61%
- 6M
- 1.78%
- 1Y
- 3.95%
- 3Y*
- 4.71%
- 5Y*
- 3.56%
- 10Y*
- —
COP vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
COP ConocoPhillips Company | 26.87% | -2.34% | -12.02% | 1.98% | 71.69% | 86.60% | -8.45% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.61% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
Correlation
The correlation between COP 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 | -0.01 |
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 | -0.02 |
The correlation between COP and SGOV shifts across timeframes, from -0.04 (5 years) to 0.06 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
COP vs. SGOV — Risk / Return Rank
COP
SGOV
COP vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ConocoPhillips Company (COP) 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.
| COP | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -19.33 | ||
| Sortino ratioReturn per unit of downside risk | -274.26 | ||
| Omega ratioGain probability vs. loss probability | 1.17 | 195.55 | -194.39 |
| Calmar ratioReturn relative to maximum drawdown | 1.86 | 398.20 | -396.33 |
| Martin ratioReturn relative to average drawdown | 4.08 | 4,461.98 | -4,457.90 |
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Drawdowns
COP vs. SGOV - Drawdown Comparison
The maximum COP drawdown since its inception was -84.55%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for COP and SGOV.
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Drawdown Indicators
| COP | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -84.55% | -0.03% | -84.52% |
Max Drawdown (1Y)Largest decline over 1 year | -14.90% | -0.01% | -14.89% |
Max Drawdown (3Y)Largest decline over 3 years | -36.19% | -0.01% | -36.18% |
Max Drawdown (5Y)Largest decline over 5 years | -36.19% | -0.03% | -36.16% |
Max Drawdown (10Y)Largest decline over 10 years | -70.66% | — | — |
Current DrawdownCurrent decline from peak | -11.92% | 0.00% | -11.92% |
Average DrawdownAverage peak-to-trough decline | -25.49% | -0.00% | -25.49% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.80% | 0.00% | +6.80% |
Volatility
COP vs. SGOV - Volatility Comparison
ConocoPhillips Company (COP) has a higher volatility of 8.72% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that COP'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
| COP | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.72% | 0.05% | +8.67% |
Volatility (6M)Calculated over the trailing 6-month period | 23.05% | 0.13% | +22.92% |
Volatility (1Y)Calculated over the trailing 1-year period | 29.33% | 0.20% | +29.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 32.80% | 0.24% | +32.56% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 37.64% | 0.24% | +37.40% |
Dividends
COP vs. SGOV - Dividend Comparison
COP's dividend yield for the trailing twelve months is around 2.82%, less than SGOV's 3.85% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
COP ConocoPhillips Company | 2.82% | 3.40% | 3.35% | 3.37% | 4.23% | 2.70% | 4.23% | 2.05% | 1.86% | 1.93% | 1.99% | 6.30% |
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
COP 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.
COP has higher volatility (8.72%) compared to SGOV (0.05%). In terms of maximum drawdown, COP dropped -84.55% vs SGOV's -0.03%.
SGOV currently has the higher Sharpe Ratio (20.28 vs 0.95), 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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