EPHE vs. SGOV
EPHE (iShares MSCI Philippines ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - EPHE is a Asia Pacific Equities fund tracking the MSCI Philippines Investable Market 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, EPHE returned -3.07%/yr vs 3.54%/yr for SGOV. At a correlation of -0.02, they often move in opposite directions. EPHE charges 0.59%/yr vs 0.09%/yr for SGOV.
Performance
EPHE vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, EPHE achieves a -0.88% return, which is significantly lower than SGOV's 1.52% return.
EPHE
- 1D
- 0.24%
- 1M
- 1.15%
- YTD
- -0.88%
- 6M
- 2.89%
- 1Y
- -8.91%
- 3Y*
- 0.59%
- 5Y*
- -3.07%
- 10Y*
- -3.37%
SGOV
- 1D
- 0.01%
- 1M
- 0.29%
- YTD
- 1.52%
- 6M
- 1.79%
- 1Y
- 3.95%
- 3Y*
- 4.72%
- 5Y*
- 3.54%
- 10Y*
- —
EPHE vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
EPHE iShares MSCI Philippines ETF | -0.88% | 1.56% | -1.41% | 1.27% | -15.87% | -2.23% | 35.55% |
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 EPHE and SGOV is -0.05, 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 | -0.05 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.01 |
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 |
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Return for Risk
EPHE vs. SGOV — Risk / Return Rank
EPHE
SGOV
EPHE vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Philippines ETF (EPHE) 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.
| EPHE | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -20.75 | ||
| Sortino ratioReturn per unit of downside risk | -276.26 | ||
| Omega ratioGain probability vs. loss probability | 0.94 | 195.55 | -194.62 |
| Calmar ratioReturn relative to maximum drawdown | -0.55 | 398.20 | -398.75 |
| Martin ratioReturn relative to average drawdown | -0.98 | 4,462.00 | -4,462.98 |
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 | SGOV | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.47 | 20.28 | -20.75 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.17 | 14.74 | -14.91 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.15 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.05 | 12.49 | -12.44 |
Drawdowns
EPHE vs. SGOV - Drawdown Comparison
The maximum EPHE drawdown since its inception was -53.82%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for EPHE and SGOV.
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Drawdown Indicators
| EPHE | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -53.82% | -0.03% | -53.79% |
Max Drawdown (1Y)Largest decline over 1 year | -16.22% | -0.01% | -16.21% |
Max Drawdown (3Y)Largest decline over 3 years | -21.42% | -0.01% | -21.41% |
Max Drawdown (5Y)Largest decline over 5 years | -32.96% | -0.03% | -32.93% |
Max Drawdown (10Y)Largest decline over 10 years | -51.62% | — | — |
Current DrawdownCurrent decline from peak | -34.46% | 0.00% | -34.46% |
Average DrawdownAverage peak-to-trough decline | -20.99% | -0.00% | -20.99% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.12% | 0.00% | +9.12% |
Volatility
EPHE vs. SGOV - Volatility Comparison
iShares MSCI Philippines ETF (EPHE) has a higher volatility of 5.59% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that EPHE'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
| EPHE | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.59% | 0.05% | +5.54% |
Volatility (6M)Calculated over the trailing 6-month period | 13.75% | 0.13% | +13.62% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.86% | 0.20% | +18.66% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.05% | 0.24% | +17.81% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.23% | 0.24% | +21.99% |
EPHE vs. SGOV - Expense Ratio Comparison
EPHE has a 0.59% expense ratio, which is higher than SGOV's 0.09% expense ratio.
Dividends
EPHE vs. SGOV - Dividend Comparison
EPHE's dividend yield for the trailing twelve months is around 2.13%, less than SGOV's 3.86% 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% |
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
EPHE and SGOV have a correlation of -0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EPHE has higher volatility (5.59%) compared to SGOV (0.05%). In terms of maximum drawdown, EPHE dropped -53.82% vs SGOV's -0.03%.
On 5-year performance, SGOV leads with 3.54% vs -3.07% for EPHE. 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, SGOV has performed better with a 3.54% return vs -3.07%. 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 0.59% for EPHE.
SGOV has the higher dividend yield at 3.86%, compared with 2.13% for EPHE.
EPHE is categorized as Asia Pacific Equities, while SGOV is Ultrashort Bond. EPHE tracks MSCI Philippines Investable Market Index, while SGOV tracks ICE 0-3 Month US Treasury Securities Index. Their fees differ too: 0.59% for EPHE and 0.09% for SGOV.
SGOV currently has the higher Sharpe Ratio (20.28 vs -0.47), 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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