DMXF vs. SGOV

Last updated Jun 4, 2026

DMXF (iShares ESG Advanced MSCI EAFE ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - DMXF is a Foreign Large Cap Equities fund tracking the MSCI EAFE Choice ESG Screened 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, DMXF returned 6.83%/yr vs 3.54%/yr for SGOV. At a correlation of -0.01, they often move in opposite directions. DMXF charges 0.12%/yr vs 0.09%/yr for SGOV.

Performance

DMXF vs. SGOV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Advanced MSCI EAFE ETF (DMXF) 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, DMXF achieves a 11.52% return, which is significantly higher than SGOV's 1.51% return.

DMXF

• 1D: -0.56%
• 1M: 5.69%
• YTD: 11.52%
• 6M: 13.01%
• 1Y: 19.38%
• 3Y*: 14.81%
• 5Y*: 6.83%
• 10Y*: —

SGOV

• 1D: 0.01%
• 1M: 0.29%
• YTD: 1.51%
• 6M: 1.80%
• 1Y: 3.95%
• 3Y*: 4.72%
• 5Y*: 3.54%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

DMXF vs. SGOV - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
DMXF iShares ESG Advanced MSCI EAFE ETF	11.52%	22.07%	3.99%	20.52%	-19.25%	10.90%	23.13%
SGOV iShares 0-3 Month Treasury Bond ETF	1.51%	4.24%	5.27%	5.12%	1.58%	0.04%	0.04%

Correlation

The correlation between DMXF and SGOV is -0.13, 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	-0.13
Correlation (3Y) Calculated over the trailing 3-year period	-0.03
Correlation (5Y) Calculated over the trailing 5-year period	-0.00
Correlation (All Time) Calculated using the full available price history since Jun 19, 2020	-0.01

The correlation between DMXF and SGOV shifts across timeframes, from -0.13 (1 year) to -0.00 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

DMXF vs. SGOV — Risk / Return Rank

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

DMXF

DMXF Risk / Return Rank: 34
DMXF Sharpe Ratio Rank: 33
DMXF Sortino Ratio Rank: 33
DMXF Omega Ratio Rank: 32
DMXF Calmar Ratio Rank: 33
DMXF Martin Ratio Rank: 39

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.

DMXF vs. SGOV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Advanced MSCI EAFE ETF (DMXF) 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.

	DMXF	SGOV	Difference
Sharpe ratio Return per unit of total volatility	1.21	20.28	-19.06
Sortino ratio Return per unit of downside risk	1.80	275.69	-273.89
Omega ratio Gain probability vs. loss probability	1.22	195.55	-194.34
Calmar ratio Return relative to maximum drawdown	1.64	398.20	-396.56
Martin ratio Return relative to average drawdown	6.16	4,462.00	-4,455.84
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DMXF vs. SGOV - Sharpe Ratio Comparison

The current DMXF Sharpe Ratio is 1.21, which is lower than the SGOV Sharpe Ratio of 20.28. The chart below compares the historical Sharpe Ratios of DMXF 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.

Sharpe Ratios by Period

	DMXF	SGOV	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.21	20.28	-19.06
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.39	14.73	-14.35
Sharpe Ratio (All Time) Calculated using the full available price history	0.65	12.48	-11.83

Drawdowns

DMXF vs. SGOV - Drawdown Comparison

The maximum DMXF drawdown since its inception was -34.52%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for DMXF and SGOV.

Drawdown Indicators

	DMXF	SGOV	Difference
Max Drawdown Largest peak-to-trough decline	-34.52%	-0.03%	-34.49%
Max Drawdown (1Y) Largest decline over 1 year	-11.84%	-0.01%	-11.83%
Max Drawdown (3Y) Largest decline over 3 years	-16.54%	-0.01%	-16.53%
Max Drawdown (5Y) Largest decline over 5 years	-34.52%	-0.03%	-34.49%
Current Drawdown Current decline from peak	-0.56%	0.00%	-0.56%
Average Drawdown Average peak-to-trough decline	-7.67%	-0.00%	-7.67%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.15%	0.00%	+3.15%

Volatility

DMXF vs. SGOV - Volatility Comparison

iShares ESG Advanced MSCI EAFE ETF (DMXF) has a higher volatility of 5.13% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that DMXF'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

	DMXF	SGOV	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.13%	0.05%	+5.08%
Volatility (6M) Calculated over the trailing 6-month period	13.29%	0.13%	+13.16%
Volatility (1Y) Calculated over the trailing 1-year period	16.07%	0.20%	+15.87%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.68%	0.24%	+17.44%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.25%	0.24%	+17.01%

DMXF vs. SGOV - Expense Ratio Comparison

DMXF has a 0.12% 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

DMXF vs. SGOV - Dividend Comparison

DMXF's dividend yield for the trailing twelve months is around 4.35%, more than SGOV's 3.86% yield.

Position	TTM	2025	2024	2023	2022	2021	2020
DMXF iShares ESG Advanced MSCI EAFE ETF	4.35%	4.85%	2.92%	2.29%	2.37%	1.91%	0.31%
SGOV iShares 0-3 Month Treasury Bond ETF	3.86%	4.10%	5.10%	4.87%	1.45%	0.03%	0.05%

Frequently Asked Questions

Can I hold both DMXF and SGOV in my portfolio?

DMXF and SGOV have a correlation of -0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DMXF or SGOV?

DMXF has higher volatility (5.13%) compared to SGOV (0.05%). In terms of maximum drawdown, DMXF dropped -34.52% vs SGOV's -0.03%.

Which ETF is better, DMXF or SGOV?

On 5-year performance, DMXF leads with 6.83% vs 3.54% for SGOV. On fees, SGOV is cheaper at 0.09% per year. On volatility, SGOV has been the lower-risk option at 0.05%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, DMXF or SGOV?

Over the 5-year period, DMXF has performed better with a 6.83% return vs 3.54%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, DMXF or SGOV?

SGOV is cheaper with a 0.09% expense ratio, compared with 0.12% for DMXF.

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

DMXF has the higher dividend yield at 4.35%, compared with 3.86% for SGOV.

What is the main difference between DMXF and SGOV?

DMXF is categorized as Foreign Large Cap Equities, while SGOV is Ultrashort Bond. DMXF tracks MSCI EAFE Choice ESG Screened Index, while SGOV tracks ICE 0-3 Month US Treasury Securities Index. Their fees differ too: 0.12% for DMXF and 0.09% for SGOV.

Which has better risk-adjusted returns?

SGOV currently has the higher Sharpe Ratio (20.28 vs 1.21), 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.