EFV vs. SGOV
EFV (iShares MSCI EAFE Value ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - EFV is a Foreign Large Cap Equities fund tracking the MSCI EAFE Value 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, EFV returned 12.21%/yr vs 3.54%/yr for SGOV. At a correlation of -0.02, they often move in opposite directions. EFV charges 0.39%/yr vs 0.09%/yr for SGOV.
Performance
EFV vs. SGOV - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, EFV achieves a 9.79% return, which is significantly higher than SGOV's 1.52% return.
EFV
- 1D
- 0.60%
- 1M
- 1.78%
- YTD
- 9.79%
- 6M
- 13.20%
- 1Y
- 28.38%
- 3Y*
- 22.47%
- 5Y*
- 12.21%
- 10Y*
- 9.75%
SGOV
- 1D
- 0.01%
- 1M
- 0.29%
- YTD
- 1.52%
- 6M
- 1.79%
- 1Y
- 3.95%
- 3Y*
- 4.72%
- 5Y*
- 3.54%
- 10Y*
- —
EFV vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
EFV iShares MSCI EAFE Value ETF | 9.79% | 42.22% | 5.35% | 18.85% | -5.22% | 11.08% | 22.59% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.52% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.05% |
Correlation
The correlation between EFV and SGOV is -0.12, 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 | -0.12 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.01 |
Correlation (All Time) Calculated using the full available price history since May 29, 2020 | -0.02 |
The correlation between EFV and SGOV shifts across timeframes, from -0.12 (1 year) to -0.01 (5 years), reflecting how their relationship changes across market environments.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
EFV vs. SGOV — Risk / Return Rank
EFV
SGOV
EFV vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EAFE Value ETF (EFV) 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.
| EFV | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -18.27 | ||
| Sortino ratioReturn per unit of downside risk | -272.91 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 195.55 | -194.19 |
| Calmar ratioReturn relative to maximum drawdown | 2.62 | 398.20 | -395.58 |
| Martin ratioReturn relative to average drawdown | 9.75 | 4,462.00 | -4,452.24 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading charts...
Sharpe Ratios by Period
| EFV | SGOV | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.01 | 20.28 | -18.27 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.77 | 14.74 | -13.97 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.55 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.27 | 12.49 | -12.22 |
Drawdowns
EFV vs. SGOV - Drawdown Comparison
The maximum EFV drawdown since its inception was -63.94%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for EFV and SGOV.
Loading charts...
Drawdown Indicators
| EFV | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -63.94% | -0.03% | -63.91% |
Max Drawdown (1Y)Largest decline over 1 year | -10.90% | -0.01% | -10.89% |
Max Drawdown (3Y)Largest decline over 3 years | -13.72% | -0.01% | -13.71% |
Max Drawdown (5Y)Largest decline over 5 years | -25.84% | -0.03% | -25.81% |
Max Drawdown (10Y)Largest decline over 10 years | -43.16% | — | — |
Current DrawdownCurrent decline from peak | -1.93% | 0.00% | -1.93% |
Average DrawdownAverage peak-to-trough decline | -14.82% | -0.00% | -14.82% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.92% | 0.00% | +2.92% |
Volatility
EFV vs. SGOV - Volatility Comparison
iShares MSCI EAFE Value ETF (EFV) has a higher volatility of 4.44% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that EFV'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.
Loading charts...
Volatility by Period
| EFV | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.44% | 0.05% | +4.39% |
Volatility (6M)Calculated over the trailing 6-month period | 11.57% | 0.13% | +11.44% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.18% | 0.20% | +13.98% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.96% | 0.24% | +15.72% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.86% | 0.24% | +17.62% |
EFV vs. SGOV - Expense Ratio Comparison
EFV has a 0.39% expense ratio, which is higher than SGOV's 0.09% expense ratio.
Dividends
EFV vs. SGOV - Dividend Comparison
EFV's dividend yield for the trailing twelve months is around 3.79%, less than SGOV's 3.86% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFV iShares MSCI EAFE Value ETF | 3.79% | 4.16% | 4.66% | 4.36% | 4.17% | 4.07% | 2.42% | 4.62% | 4.56% | 3.56% | 3.28% | 3.59% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.86% | 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
EFV and SGOV have a correlation of -0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EFV has higher volatility (4.44%) compared to SGOV (0.05%). In terms of maximum drawdown, EFV dropped -63.94% vs SGOV's -0.03%.
On 5-year performance, EFV leads with 12.21% 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.
Over the 5-year period, EFV has performed better with a 12.21% return vs 3.54%. 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 0.39% for EFV.
SGOV has the higher dividend yield at 3.86%, compared with 3.79% for EFV.
EFV is categorized as Foreign Large Cap Equities, while SGOV is Ultrashort Bond. EFV tracks MSCI EAFE Value Index, while SGOV tracks ICE 0-3 Month US Treasury Securities Index. Their fees differ too: 0.39% for EFV and 0.09% for SGOV.
SGOV currently has the higher Sharpe Ratio (20.28 vs 2.01), 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.
Find the right allocation for EFV and SGOV
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer