EPHE vs. GOVT
EPHE (iShares MSCI Philippines ETF) and GOVT (iShares U.S. Treasury Bond ETF) are both exchange-traded funds - EPHE is a Asia Pacific Equities fund tracking the MSCI Philippines Investable Market Index, while GOVT is a Government Bonds fund tracking the ICE U.S. Treasury Core Bond Index. Both are passively managed. Over the past 10 years, EPHE returned -3.20%/yr vs 0.87%/yr for GOVT. At a correlation of -0.02, they often move in opposite directions. EPHE charges 0.59%/yr vs 0.05%/yr for GOVT.
Performance
EPHE vs. GOVT - Performance Comparison
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Returns By Period
In the year-to-date period, EPHE achieves a -1.12% return, which is significantly lower than GOVT's -0.11% return. Over the past 10 years, EPHE has underperformed GOVT with an annualized return of -3.20%, while GOVT has yielded a comparatively higher 0.87% annualized return.
EPHE
- 1D
- 0.24%
- 1M
- 1.36%
- YTD
- -1.12%
- 6M
- 0.64%
- 1Y
- -9.52%
- 3Y*
- 0.24%
- 5Y*
- -3.12%
- 10Y*
- -3.20%
GOVT
- 1D
- -0.18%
- 1M
- 0.11%
- YTD
- -0.11%
- 6M
- -0.34%
- 1Y
- 3.87%
- 3Y*
- 2.83%
- 5Y*
- -0.45%
- 10Y*
- 0.87%
EPHE vs. GOVT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EPHE iShares MSCI Philippines ETF | -1.12% | 1.56% | -1.41% | 1.27% | -15.87% | -2.23% | -3.95% | 8.50% | -17.50% | 20.20% |
GOVT iShares U.S. Treasury Bond ETF | -0.11% | 3.77% | 2.95% | 4.17% | -13.39% | -1.11% | 7.28% | 7.36% | 0.26% | 2.19% |
Correlation
The correlation between EPHE and GOVT is 0.20, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.20 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.15 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.14 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.03 |
Correlation (All Time) Calculated using the full available price history since Feb 27, 2012 | -0.02 |
The correlation between EPHE and GOVT shifts across timeframes, from -0.02 (all time) to 0.20 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
EPHE vs. GOVT — Risk / Return Rank
EPHE
GOVT
EPHE vs. GOVT - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Philippines ETF (EPHE) and iShares U.S. Treasury Bond ETF (GOVT). 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.
| EPHE | GOVT | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.51 | 1.07 | -1.58 |
Sortino ratioReturn per unit of downside risk | -0.62 | 1.62 | -2.24 |
Omega ratioGain probability vs. loss probability | 0.93 | 1.18 | -0.25 |
Calmar ratioReturn relative to maximum drawdown | -0.59 | 1.36 | -1.95 |
Martin ratioReturn relative to average drawdown | -1.05 | 4.01 | -5.06 |
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
| EPHE | GOVT | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.51 | 1.07 | -1.58 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.17 | -0.08 | -0.10 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.14 | 0.17 | -0.31 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.05 | 0.26 | -0.21 |
Drawdowns
EPHE vs. GOVT - Drawdown Comparison
The maximum EPHE drawdown since its inception was -53.82%, which is greater than GOVT's maximum drawdown of -19.07%. Use the drawdown chart below to compare losses from any high point for EPHE and GOVT.
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Drawdown Indicators
| EPHE | GOVT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -53.82% | -19.07% | -34.75% |
Max Drawdown (1Y)Largest decline over 1 year | -16.22% | -2.85% | -13.37% |
Max Drawdown (3Y)Largest decline over 3 years | -21.42% | -5.43% | -15.99% |
Max Drawdown (5Y)Largest decline over 5 years | -32.96% | -16.60% | -16.36% |
Max Drawdown (10Y)Largest decline over 10 years | -51.62% | -19.07% | -32.55% |
Current DrawdownCurrent decline from peak | -34.62% | -7.17% | -27.45% |
Average DrawdownAverage peak-to-trough decline | -20.98% | -5.25% | -15.73% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.08% | 0.97% | +8.11% |
Volatility
EPHE vs. GOVT - Volatility Comparison
iShares MSCI Philippines ETF (EPHE) has a higher volatility of 5.60% compared to iShares U.S. Treasury Bond ETF (GOVT) at 1.09%. This indicates that EPHE's price experiences larger fluctuations and is considered to be riskier than GOVT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EPHE | GOVT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.60% | 1.09% | +4.51% |
Volatility (6M)Calculated over the trailing 6-month period | 13.77% | 2.51% | +11.26% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.87% | 3.63% | +15.24% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.05% | 6.04% | +12.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.24% | 5.22% | +17.02% |
EPHE vs. GOVT - Expense Ratio Comparison
EPHE has a 0.59% expense ratio, which is higher than GOVT's 0.05% expense ratio.
Dividends
EPHE vs. GOVT - Dividend Comparison
EPHE's dividend yield for the trailing twelve months is around 2.13%, less than GOVT's 3.59% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EPHE iShares MSCI Philippines ETF | 2.13% | 2.11% | 2.32% | 2.01% | 1.73% | 1.05% | 0.72% | 0.78% | 0.45% | 0.36% | 0.71% | 1.03% |
GOVT iShares U.S. Treasury Bond ETF | 3.59% | 3.49% | 3.14% | 2.65% | 1.77% | 0.96% | 2.17% | 1.98% | 1.97% | 1.57% | 1.40% | 1.25% |
Frequently Asked Questions
EPHE and GOVT have a correlation of 0.20, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EPHE has higher volatility (5.60%) compared to GOVT (1.09%). In terms of maximum drawdown, EPHE dropped -53.82% vs GOVT's -19.07%.
On 10-year performance, GOVT leads with 0.87% vs -3.20% for EPHE. On fees, GOVT is cheaper at 0.05% per year. On volatility, GOVT has been the lower-risk option at 1.09%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, GOVT has performed better with a 0.87% return vs -3.20%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
GOVT is cheaper with a 0.05% expense ratio, compared with 0.59% for EPHE.
GOVT has the higher dividend yield at 3.59%, compared with 2.13% for EPHE.
EPHE is categorized as Asia Pacific Equities, while GOVT is Government Bonds. EPHE tracks MSCI Philippines Investable Market Index, while GOVT tracks ICE U.S. Treasury Core Bond Index. Their fees differ too: 0.59% for EPHE and 0.05% for GOVT.
GOVT currently has the higher Sharpe Ratio (1.07 vs -0.51), 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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