EWY vs. SGOV
EWY (iShares MSCI South Korea ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - EWY is a Asia Pacific Equities fund tracking the MSCI Korea 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, EWY returned 20.31%/yr vs 3.54%/yr for SGOV. At a correlation of -0.02, they often move in opposite directions. EWY charges 0.59%/yr vs 0.09%/yr for SGOV.
Performance
EWY vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, EWY achieves a 119.05% return, which is significantly higher than SGOV's 1.51% return.
EWY
- 1D
- -0.73%
- 1M
- 30.18%
- YTD
- 119.05%
- 6M
- 134.13%
- 1Y
- 251.82%
- 3Y*
- 51.99%
- 5Y*
- 20.31%
- 10Y*
- 17.46%
SGOV
- 1D
- 0.01%
- 1M
- 0.29%
- YTD
- 1.51%
- 6M
- 1.80%
- 1Y
- 3.95%
- 3Y*
- 4.72%
- 5Y*
- 3.54%
- 10Y*
- —
EWY vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
EWY iShares MSCI South Korea ETF | 119.05% | 95.33% | -20.48% | 19.05% | -26.59% | -7.58% | 64.79% |
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 EWY and SGOV is -0.11, 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 | -0.11 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.04 |
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 EWY and SGOV shifts across timeframes, from -0.11 (1 year) to -0.01 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
EWY vs. SGOV — Risk / Return Rank
EWY
SGOV
EWY vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI South Korea ETF (EWY) 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.
| EWY | SGOV | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 6.02 | 20.28 | -14.25 |
Sortino ratioReturn per unit of downside risk | 5.31 | 275.69 | -270.37 |
Omega ratioGain probability vs. loss probability | 1.74 | 195.55 | -193.81 |
Calmar ratioReturn relative to maximum drawdown | 10.99 | 398.20 | -387.21 |
Martin ratioReturn relative to average drawdown | 40.91 | 4,462.00 | -4,421.09 |
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
| EWY | SGOV | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 6.02 | 20.28 | -14.25 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.71 | 14.73 | -14.03 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.64 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.33 | 12.48 | -12.15 |
Drawdowns
EWY vs. SGOV - Drawdown Comparison
The maximum EWY drawdown since its inception was -74.14%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for EWY and SGOV.
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Drawdown Indicators
| EWY | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -74.14% | -0.03% | -74.11% |
Max Drawdown (1Y)Largest decline over 1 year | -23.08% | -0.01% | -23.07% |
Max Drawdown (3Y)Largest decline over 3 years | -27.36% | -0.01% | -27.35% |
Max Drawdown (5Y)Largest decline over 5 years | -48.55% | -0.03% | -48.52% |
Max Drawdown (10Y)Largest decline over 10 years | -49.73% | — | — |
Current DrawdownCurrent decline from peak | -1.73% | 0.00% | -1.73% |
Average DrawdownAverage peak-to-trough decline | -20.13% | -0.00% | -20.13% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.19% | 0.00% | +6.19% |
Volatility
EWY vs. SGOV - Volatility Comparison
iShares MSCI South Korea ETF (EWY) has a higher volatility of 20.32% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that EWY'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
| EWY | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 20.32% | 0.05% | +20.27% |
Volatility (6M)Calculated over the trailing 6-month period | 37.41% | 0.13% | +37.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 42.10% | 0.20% | +41.90% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 28.83% | 0.24% | +28.59% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 27.37% | 0.24% | +27.13% |
EWY vs. SGOV - Expense Ratio Comparison
EWY has a 0.59% expense ratio, which is higher than SGOV's 0.09% expense ratio.
Dividends
EWY vs. SGOV - Dividend Comparison
EWY's dividend yield for the trailing twelve months is around 0.96%, less than SGOV's 3.86% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EWY iShares MSCI South Korea ETF | 0.96% | 2.10% | 2.55% | 2.52% | 1.23% | 2.16% | 0.73% | 2.10% | 1.34% | 2.90% | 1.21% | 2.42% |
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
EWY and SGOV have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EWY has higher volatility (20.32%) compared to SGOV (0.05%). In terms of maximum drawdown, EWY dropped -74.14% vs SGOV's -0.03%.
On 5-year performance, EWY leads with 20.31% 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, EWY has performed better with a 20.31% 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 0.59% for EWY.
SGOV has the higher dividend yield at 3.86%, compared with 0.96% for EWY.
EWY is categorized as Asia Pacific Equities, while SGOV is Ultrashort Bond. EWY tracks MSCI Korea Index, while SGOV tracks ICE 0-3 Month US Treasury Securities Index. Their fees differ too: 0.59% for EWY and 0.09% for SGOV.
SGOV currently has the higher Sharpe Ratio (20.28 vs 6.02), 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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