EURUSD=X vs. SGOV
EURUSD=X (Euro / U.S. Dollar) is a currency, while SGOV (iShares 0-3 Month Treasury Bond ETF) is Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. Over the past 5 years, EURUSD=X returned -0.80%/yr vs 3.64%/yr for SGOV. Their -0.03 correlation means they have often moved in opposite directions in the past.
Performance
EURUSD=X vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, EURUSD=X achieves a -3.16% return, which is significantly lower than SGOV's 2.05% return.
EURUSD=X
- 1D
- -0.25%
- 1M
- -0.09%
- 6M
- -4.25%
- YTD
- -3.16%
- 1Y
- -3.24%
- 3Y*
- 1.08%
- 5Y*
- -0.80%
- 10Y*
- 0.18%
- ALL TIME*
- -1.02%
SGOV
- 1D
- 0.01%
- 1M
- 0.29%
- 6M
- 1.80%
- YTD
- 2.05%
- 1Y
- 3.86%
- 3Y*
- 4.63%
- 5Y*
- 3.64%
- 10Y*
- —
- ALL TIME*
- 2.96%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
EURUSD=X Euro / U.S. Dollar | $100.75K | $121.12K | $144.04K |
| $1.66B | $1.91B | $2.04B |
EURUSD=X vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
EURUSD=X Euro / U.S. Dollar | -3.16% | 13.43% | -6.18% | 3.16% | -6.01% | -6.81% | 11.02% |
SGOV iShares 0-3 Month Treasury Bond ETF | 2.05% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
Correlation
The correlation between EURUSD=X and SGOV is -0.05, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.05 |
Correlation (3Y) Balances recent behavior with more history. | -0.04 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.02 |
Correlation (All Time) Calculated using the full available price history since May 28, 2020 | -0.03 |
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Return for Risk
EURUSD=X vs. SGOV — Risk / Return Rank
EURUSD=X
SGOV
EURUSD=X vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Euro / U.S. Dollar (EURUSD=X) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| EURUSD=X | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -21.12 | ||
| Sortino ratioReturn per unit of downside risk | -382.43 | ||
| Omega ratioGain probability vs. loss probability | 0.93 | 382.06 | -381.13 |
| Calmar ratioReturn relative to maximum drawdown | -0.46 | 389.90 | -390.36 |
| Martin ratioReturn relative to average drawdown | -0.92 | 6,177.20 | -6,178.11 |
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Drawdowns
EURUSD=X vs. SGOV - Drawdown Comparison
The maximum EURUSD=X drawdown since its inception was -40.01%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for EURUSD=X and SGOV.
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Drawdown Indicators
| EURUSD=X | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.01% | -0.03% | -39.98% |
Max Drawdown (1Y)Largest decline over 1 year | -5.67% | -0.01% | -5.66% |
Max Drawdown (3Y)Largest decline over 3 years | -8.48% | -0.01% | -8.47% |
Max Drawdown (5Y)Largest decline over 5 years | -19.28% | -0.03% | -19.25% |
Max Drawdown (10Y)Largest decline over 10 years | -23.31% | — | — |
Current DrawdownCurrent decline from peak | -28.87% | 0.00% | -28.87% |
Average DrawdownAverage peak-to-trough decline | -23.66% | 0.00% | -23.66% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.96% | 0.00% | +2.96% |
Volatility
EURUSD=X vs. SGOV - Volatility Comparison
Euro / U.S. Dollar (EURUSD=X) has a higher volatility of 0.91% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that EURUSD=X'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
| EURUSD=X | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.91% | 0.05% | +0.86% |
Volatility (6M)Calculated over the trailing 6-month period | 3.92% | 0.13% | +3.79% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.76% | 0.19% | +5.57% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.38% | 0.24% | +7.14% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.08% | 0.24% | +6.84% |
Frequently Asked Questions
EURUSD=X 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.
EURUSD=X has higher volatility (0.91%) compared to SGOV (0.05%). In terms of maximum drawdown, EURUSD=X dropped -40.01% vs SGOV's -0.03%.
SGOV currently has the higher Sharpe Ratio (20.66 vs -0.45), 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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