DFIEX vs. SGOV
DFIEX (DFA International Core Equity 2 Portfolio Institutional Class) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both funds - DFIEX is a Foreign Large Cap Equities fund managed by Dimensional, while SGOV is a Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. Over the past 5 years, DFIEX returned 10.21%/yr vs 3.63%/yr for SGOV. At a correlation of -0.04, they often move in opposite directions. DFIEX charges 0.24%/yr vs 0.09%/yr for SGOV.
Performance
DFIEX vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, DFIEX achieves a 10.01% return, which is significantly higher than SGOV's 1.99% return.
DFIEX
- 1D
- -0.36%
- 1M
- -0.58%
- 6M
- 6.19%
- YTD
- 10.01%
- 1Y
- 23.93%
- 3Y*
- 17.29%
- 5Y*
- 10.21%
- 10Y*
- 10.11%
- ALL TIME*
- 6.94%
SGOV
- 1D
- 0.01%
- 1M
- 0.29%
- 6M
- 1.80%
- YTD
- 1.99%
- 1Y
- 3.87%
- 3Y*
- 4.64%
- 5Y*
- 3.63%
- 10Y*
- —
- ALL TIME*
- 2.96%
DFIEX vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
DFIEX DFA International Core Equity 2 Portfolio Institutional Class | 10.01% | 36.18% | 3.99% | 17.50% | -13.51% | 13.85% | 29.51% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.99% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
Correlation
The correlation between DFIEX and SGOV is -0.11, 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 | -0.11 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.02 |
Correlation (All Time) Calculated using the full available price history since May 28, 2020 | -0.04 |
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Return for Risk
DFIEX vs. SGOV — Risk / Return Rank
DFIEX
SGOV
DFIEX vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA International Core Equity 2 Portfolio Institutional Class (DFIEX) 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.
| DFIEX | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -19.18 | ||
| Sortino ratioReturn per unit of downside risk | -380.48 | ||
| Omega ratioGain probability vs. loss probability | 1.30 | 383.06 | -381.76 |
| Calmar ratioReturn relative to maximum drawdown | 2.17 | 390.94 | -388.77 |
| Martin ratioReturn relative to average drawdown | 8.34 | 6,193.70 | -6,185.36 |
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Drawdowns
DFIEX vs. SGOV - Drawdown Comparison
The maximum DFIEX drawdown since its inception was -62.22%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for DFIEX and SGOV.
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Drawdown Indicators
| DFIEX | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -62.22% | -0.03% | -62.19% |
Max Drawdown (1Y)Largest decline over 1 year | -11.01% | -0.01% | -11.00% |
Max Drawdown (3Y)Largest decline over 3 years | -12.81% | -0.01% | -12.80% |
Max Drawdown (5Y)Largest decline over 5 years | -28.66% | -0.03% | -28.63% |
Max Drawdown (10Y)Largest decline over 10 years | -41.04% | — | — |
Current DrawdownCurrent decline from peak | -1.34% | 0.00% | -1.34% |
Average DrawdownAverage peak-to-trough decline | -12.11% | -0.00% | -12.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.85% | 0.00% | +2.85% |
Volatility
DFIEX vs. SGOV - Volatility Comparison
DFA International Core Equity 2 Portfolio Institutional Class (DFIEX) has a higher volatility of 3.80% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that DFIEX'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
| DFIEX | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.80% | 0.05% | +3.75% |
Volatility (6M)Calculated over the trailing 6-month period | 12.10% | 0.13% | +11.97% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.43% | 0.19% | +14.24% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.82% | 0.24% | +15.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.10% | 0.24% | +15.86% |
DFIEX vs. SGOV - Expense Ratio Comparison
DFIEX has a 0.24% 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
DFIEX vs. SGOV - Dividend Comparison
DFIEX's dividend yield for the trailing twelve months is around 3.01%, less than SGOV's 3.80% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFIEX DFA International Core Equity 2 Portfolio Institutional Class | 3.01% | 3.22% | 3.42% | 3.36% | 2.88% | 2.98% | 1.77% | 2.90% | 2.95% | 2.49% | 2.76% | 4.20% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.80% | 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
DFIEX and SGOV have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DFIEX has higher volatility (3.80%) compared to SGOV (0.05%). In terms of maximum drawdown, DFIEX dropped -62.22% vs SGOV's -0.03%.
SGOV currently has the higher Sharpe Ratio (20.84 vs 1.65), 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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