ENOR vs. SGOV
ENOR (iShares MSCI Norway ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - ENOR is a Europe Equities fund tracking the MSCI Norway IMI 25/50 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, ENOR returned 8.25%/yr vs 3.54%/yr for SGOV. At a correlation of -0.02, they often move in opposite directions. ENOR charges 0.53%/yr vs 0.09%/yr for SGOV.
Performance
ENOR vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, ENOR achieves a 28.21% return, which is significantly higher than SGOV's 1.51% return.
ENOR
- 1D
- -0.57%
- 1M
- -1.34%
- YTD
- 28.21%
- 6M
- 33.17%
- 1Y
- 37.30%
- 3Y*
- 23.56%
- 5Y*
- 8.25%
- 10Y*
- 9.41%
SGOV
- 1D
- 0.01%
- 1M
- 0.29%
- YTD
- 1.51%
- 6M
- 1.80%
- 1Y
- 3.95%
- 3Y*
- 4.72%
- 5Y*
- 3.54%
- 10Y*
- —
ENOR vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
ENOR iShares MSCI Norway ETF | 28.21% | 32.00% | -2.29% | 4.80% | -12.53% | 18.69% | 35.57% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.51% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.05% |
Correlation
The correlation between ENOR and SGOV is -0.04, 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 | -0.04 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.01 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.00 |
Correlation (All Time) Calculated using the full available price history since May 29, 2020 | -0.02 |
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Return for Risk
ENOR vs. SGOV — Risk / Return Rank
ENOR
SGOV
ENOR vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Norway ETF (ENOR) 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.
| ENOR | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -18.12 | ||
| Sortino ratioReturn per unit of downside risk | -272.65 | ||
| Omega ratioGain probability vs. loss probability | 1.37 | 195.55 | -194.19 |
| Calmar ratioReturn relative to maximum drawdown | 4.16 | 398.20 | -394.04 |
| Martin ratioReturn relative to average drawdown | 11.78 | 4,462.00 | -4,450.22 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ENOR | SGOV | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.15 | 20.28 | -18.12 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.37 | 14.73 | -14.36 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.39 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.25 | 12.48 | -12.23 |
Drawdowns
ENOR vs. SGOV - Drawdown Comparison
The maximum ENOR drawdown since its inception was -55.35%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for ENOR and SGOV.
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Drawdown Indicators
| ENOR | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.35% | -0.03% | -55.32% |
Max Drawdown (1Y)Largest decline over 1 year | -9.01% | -0.01% | -9.00% |
Max Drawdown (3Y)Largest decline over 3 years | -15.84% | -0.01% | -15.83% |
Max Drawdown (5Y)Largest decline over 5 years | -32.65% | -0.03% | -32.62% |
Max Drawdown (10Y)Largest decline over 10 years | -54.21% | — | — |
Current DrawdownCurrent decline from peak | -3.15% | 0.00% | -3.15% |
Average DrawdownAverage peak-to-trough decline | -16.58% | -0.00% | -16.58% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.18% | 0.00% | +3.18% |
Volatility
ENOR vs. SGOV - Volatility Comparison
iShares MSCI Norway ETF (ENOR) has a higher volatility of 5.14% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that ENOR'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
| ENOR | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.14% | 0.05% | +5.09% |
Volatility (6M)Calculated over the trailing 6-month period | 13.62% | 0.13% | +13.49% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.43% | 0.20% | +17.23% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.18% | 0.24% | +21.94% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 24.02% | 0.24% | +23.78% |
ENOR vs. SGOV - Expense Ratio Comparison
ENOR has a 0.53% expense ratio, which is higher than SGOV's 0.09% expense ratio.
Dividends
ENOR vs. SGOV - Dividend Comparison
ENOR's dividend yield for the trailing twelve months is around 2.31%, less than SGOV's 3.86% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ENOR iShares MSCI Norway ETF | 2.31% | 2.96% | 6.32% | 5.06% | 4.02% | 2.24% | 2.39% | 3.15% | 2.79% | 2.47% | 2.96% | 3.24% |
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
ENOR and SGOV have a correlation of -0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ENOR has higher volatility (5.14%) compared to SGOV (0.05%). In terms of maximum drawdown, ENOR dropped -55.35% vs SGOV's -0.03%.
On 5-year performance, ENOR leads with 8.25% 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, ENOR has performed better with a 8.25% 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 0.53% for ENOR.
SGOV has the higher dividend yield at 3.86%, compared with 2.31% for ENOR.
ENOR is categorized as Europe Equities, while SGOV is Ultrashort Bond. ENOR tracks MSCI Norway IMI 25/50 Index, while SGOV tracks ICE 0-3 Month US Treasury Securities Index. Their fees differ too: 0.53% for ENOR and 0.09% for SGOV.
SGOV currently has the higher Sharpe Ratio (20.28 vs 2.15), 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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